Arbeitspapier
Country versus Region Effects in International Stock Returns
An empirical regularity in the portfolio diversification literature is the importance of country effects in explaining international return variation. We develop a new decomposition that disaggregates these country effects into region effects and within-region country effects. We find that half the return variation typically attributed to country effects is actually due to region effects, a result robust across developed and emerging markets, with the remaining variation explained by within-region country effects. For the average investor, this means that diversifying across countries within Europe, for example, delivers half the risk reduction possible from diversifying across regions globally.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 2002-20a
- Klassifikation
-
Wirtschaft
- Thema
-
Financial markets
Risk
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Brooks, Robin
Del Negro, Marco
- Ereignis
-
Veröffentlichung
- (wer)
-
Federal Reserve Bank of Atlanta
- (wo)
-
Atlanta, GA
- (wann)
-
2003
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Brooks, Robin
- Del Negro, Marco
- Federal Reserve Bank of Atlanta
Entstanden
- 2003
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