Chou, Hsin-I; Zhao, Jing; Suardi, Sandy - In: Journal of International Financial Markets, … 33 (2014) C, pp. 28-55
The adoption of the euro led to a shift in importance from country to industry effects in euro zone stock returns. For the first time, this paper shows that country effects have regained importance in the recent spate of crises. This euro-wide factor reversal is driven by countries with poor...