Matches in SemOpenAlex for { <https://semopenalex.org/work/W3124062587> ?p ?o ?g. }
Showing items 1 to 79 of
79
with 100 items per page.
- W3124062587 abstract "Equity returns are believed to be strongly influenced by country, sector and style effects. A key issue is to be able to disentangle those various effects from one another. In particular, differences between country returns may simply reflect differences in the sector composition of country markets, which makes it clearly difficult to disassociate both effects. Similarly, from 1999-2001 the relative perfor-mance of Growth versus Value might be solely due to the striking performance of the Technology and Telecommunication sectors. For global equity portfolio man-agers, it is crucial to identify which factors offer the highest diversification benefits and return potential. We apply a multi-factor approach to estimate ”pure” coun-try, sector and style factor returns. Using data going back to 1990, we identify the major changes that have occurred in developed markets until 2001. Our various indicators clearly point out the growing influence of sector factors. However, coun-try effects remain important and there is no clear-cut evidence that sector factors dominate country factors. Style factors such as Growth, Value and Size also remain significant, even once sector and country effects are deduced. Finally, we show that momentum strategies based on sector returns offer substantial gains, while momen-tum strategies based on country returns do not. These findings suggest that, while diversification and return benefits from sector strategies have become substantial, managers should continue to monitor carefully country as well as style rewards and risks." @default.
- W3124062587 created "2021-02-01" @default.
- W3124062587 creator A5013587529 @default.
- W3124062587 creator A5052329937 @default.
- W3124062587 creator A5058200896 @default.
- W3124062587 date "2001-01-01" @default.
- W3124062587 modified "2023-09-26" @default.
- W3124062587 title "Country, Sector or Style: What Matters Most When Constructing Global Equity Portfolios? An Empirical Investigation from 1990-2001" @default.
- W3124062587 hasPublicationYear "2001" @default.
- W3124062587 type Work @default.
- W3124062587 sameAs 3124062587 @default.
- W3124062587 citedByCount "0" @default.
- W3124062587 crossrefType "posted-content" @default.
- W3124062587 hasAuthorship W3124062587A5013587529 @default.
- W3124062587 hasAuthorship W3124062587A5052329937 @default.
- W3124062587 hasAuthorship W3124062587A5058200896 @default.
- W3124062587 hasConcept C10138342 @default.
- W3124062587 hasConcept C106159729 @default.
- W3124062587 hasConcept C111472728 @default.
- W3124062587 hasConcept C119857082 @default.
- W3124062587 hasConcept C121087249 @default.
- W3124062587 hasConcept C138885662 @default.
- W3124062587 hasConcept C144133560 @default.
- W3124062587 hasConcept C162324750 @default.
- W3124062587 hasConcept C162853370 @default.
- W3124062587 hasConcept C166052673 @default.
- W3124062587 hasConcept C17744445 @default.
- W3124062587 hasConcept C180916674 @default.
- W3124062587 hasConcept C199539241 @default.
- W3124062587 hasConcept C199728807 @default.
- W3124062587 hasConcept C2776291640 @default.
- W3124062587 hasConcept C2780821815 @default.
- W3124062587 hasConcept C41008148 @default.
- W3124062587 hasConcept C556758197 @default.
- W3124062587 hasConceptScore W3124062587C10138342 @default.
- W3124062587 hasConceptScore W3124062587C106159729 @default.
- W3124062587 hasConceptScore W3124062587C111472728 @default.
- W3124062587 hasConceptScore W3124062587C119857082 @default.
- W3124062587 hasConceptScore W3124062587C121087249 @default.
- W3124062587 hasConceptScore W3124062587C138885662 @default.
- W3124062587 hasConceptScore W3124062587C144133560 @default.
- W3124062587 hasConceptScore W3124062587C162324750 @default.
- W3124062587 hasConceptScore W3124062587C162853370 @default.
- W3124062587 hasConceptScore W3124062587C166052673 @default.
- W3124062587 hasConceptScore W3124062587C17744445 @default.
- W3124062587 hasConceptScore W3124062587C180916674 @default.
- W3124062587 hasConceptScore W3124062587C199539241 @default.
- W3124062587 hasConceptScore W3124062587C199728807 @default.
- W3124062587 hasConceptScore W3124062587C2776291640 @default.
- W3124062587 hasConceptScore W3124062587C2780821815 @default.
- W3124062587 hasConceptScore W3124062587C41008148 @default.
- W3124062587 hasConceptScore W3124062587C556758197 @default.
- W3124062587 hasLocation W31240625871 @default.
- W3124062587 hasOpenAccess W3124062587 @default.
- W3124062587 hasPrimaryLocation W31240625871 @default.
- W3124062587 hasRelatedWork W149800693 @default.
- W3124062587 hasRelatedWork W1558274895 @default.
- W3124062587 hasRelatedWork W1587167932 @default.
- W3124062587 hasRelatedWork W182609136 @default.
- W3124062587 hasRelatedWork W1984666894 @default.
- W3124062587 hasRelatedWork W2018202603 @default.
- W3124062587 hasRelatedWork W2028619045 @default.
- W3124062587 hasRelatedWork W2163700546 @default.
- W3124062587 hasRelatedWork W2235076024 @default.
- W3124062587 hasRelatedWork W3040581620 @default.
- W3124062587 hasRelatedWork W309460113 @default.
- W3124062587 hasRelatedWork W3098318625 @default.
- W3124062587 hasRelatedWork W3121500633 @default.
- W3124062587 hasRelatedWork W3122370218 @default.
- W3124062587 hasRelatedWork W3123703135 @default.
- W3124062587 hasRelatedWork W3124141190 @default.
- W3124062587 hasRelatedWork W3125798380 @default.
- W3124062587 hasRelatedWork W3140125244 @default.
- W3124062587 hasRelatedWork W377649378 @default.
- W3124062587 hasRelatedWork W89225643 @default.
- W3124062587 isParatext "false" @default.
- W3124062587 isRetracted "false" @default.
- W3124062587 magId "3124062587" @default.
- W3124062587 workType "article" @default.