Series: IMF Working Papers
Author(s): Marco Del Negro , and Robin Brooks
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 November 2002
Keywords: Diversification, risk, stock market, global stock market, stock portfolio, stock markets, stock returns,
We investigate the relative importance of country and industry effects in international stock returns, with the innovation that we decompose country effects into region and within-region country effects. We divide...