We investigate the relative strength of industry versus country effects in the global equity markets during the sample period 1994-2010. In particular, we examine three market segments: (a) the world market, (b) emerging markets, and (c) developed Europe. We employ a factor-based approach to...

In this article, we investigate the relative strength of industry versus country effects in the global equity markets over the sample period 1994–2010. In particular, we examine three market segments: (a) the world market, (b) emerging markets, and (c) developed Europe. We employ a...

The authors present an exact methodology for decomposing cross-sectional volatility into contributions from various factors. Treating country, industry, and style factors equally, they used their framework to investigate several relevant issues in the global equity markets, including the...