Bekaert, Geert; Hodrick, Robert J.; Zhang, Xiaoyan - Weiss Center for International Financial Research, … - 2005
We examine international stock return comovements using country-industry and country-style portfolios as the base portfolios. We first establish that parsimonious risk-based factor models capture the covariance structure of the data better than the popular Heston-ouwenhorst (1994) model. We then...