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- W181071570 abstract "Previous studies that have examined the relative importance of industry and country factors in determining equity returns have generally concluded that country factors dominate industry factors. We present evidence that industry factors have been growing in relative importance and may now even dominate country factors. Furthermore, our evidence suggests that over the most recent five years, diversification across global industries provides greater risk reduction than diversification across countries. Taken together these findings suggest that industry allocation may become a more important consideration for active managers of global equity portfolios and that investors may wish to reconsider home biased equity allocation policies. * The authors are with Brinson Partners, Chicago. They gratefully acknowledge comments from an anonymous referee and from B. Solnik, A. Karolyi J. Cochrane, C. Harvey, and G. Rouwenhorst. The usual disclaimer applies. This monograph has been accepted for publication by the Financial Analyst Journal. Correspondence may be forwarded to: Brinson Partners Inc. Stefano Cavaglia 209 South LaSalle Street Tel: 312-606-4943 Chicago, Il, 60604 Fax: 312-220-7174 USA CAVAGLIAS@BRINSON.COM Chris Brightman Michael Aked Tel: 312-220-7269 Tel: 312-220-7485 Fax: 312-220-7174 Fax: 312-220-7174 BRIGHTMANC@BRINSON.COM AKEDM@BRINSON.COM" @default.
- W181071570 created "2016-06-24" @default.
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- W181071570 date "2000-01-01" @default.
- W181071570 modified "2023-09-24" @default.
- W181071570 title "ON THE INCREASING IMPORTANCE OF INDUSTRY FACTORS: IMPLICATIONS FOR GLOBAL PORTFOLIO MANAGEMENT" @default.
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