Are practitioners right ? On the relative importance of industrial factors in international stock returns

Rapport Rapport de recherche Are practitioners right ? On the relative importance of industrial factors in international stock returns eng 2003 author Isakov Dusan 114767 author Sonney Frédéric André 104911 This paper investigates the relative influences of industrial and country factors in international stock returns. Until very recently, academic research has consistently found that country factors dominate industrial factors. This result is in contradiction with practitioners beliefs. This paper re-examines this issue by analyzing a sample of more than 4000 stocks quoted in 20 developed countries. We find that on average the country effect still dominates stock returns over the period 1997-2000. This result has to be interpreted with caution though, as an analysis that allows these relative influences to change over time demonstrates the rapidly increasing impact of industry effects in recent times. We find, in particular, that this trend is common to all 20 developed countries considered and not only to those that are member of the European Monetary Union. We interpret this result as evidence of the increasing globalization of international equity markets. International stock markets Industries Global factors Diversification Dewey 330/650 Cahiers de recherche 2003.04 9 Faculté d'économie et de management S false ab48461b-d220-4012-b0b2-05203438e9ed Report Public file1.pdf 173794 application/pdf openAccess Faculté d'économie et de management

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Are practitioners right ? On the relative importance of industrial factors in international stock returns				2003	625	1,258

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Sonney, Frédéric André