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Banking and Finance

By Emilio Grisolia, Lehman Brothers, Marco Navone, Università Bocconi and Sda Bocconi


In this paper we analyze the relative importance of country and industry pure factors on the cross-section of stock returns. We show that the supremacy of industry factors, reported in a number of recent studies, is due to a time sample bias: although economic integration has shifted relevance from country to global factors we show that if we avoid the anomalies of the “technology bubble ” country and industry pure factors show the same cross-sectional variability and the same relevance in the determination of stock returns. We also introduce a regional factor and demonstrate that the vast majority of cross-country variation is, in fact, at the regional level

Topics: Jel codes, G15, G11
Year: 2007
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