Country versus sector factors in equity returns: The roles of non-unit exposures

In this paper we disentangle, analytically and empirically, the roles of the unit-exposure restriction in Heston and Rouwenhorst (1994). We show that if the purpose is to construct factors, the unit-exposure variance-analysis model can be viewed as just an algorithm that does not really assume a ret...

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Veröffentlicht in:	Journal of empirical finance 2011-01, Vol.18 (1), p.64-77
Hauptverfasser:	De Moor, Lieven, Sercu, Piet
Format:	Artikel
Sprache:	eng
Schlagworte:	Attenuation Cross-national analysis Estimation error Estimation error Factor model International stock returns World factor Attenuation Factor analysis Factor model Financial analysis Financial information International stock returns Stock exchange Stock prices Stock returns World factor
Online-Zugang:	Volltext
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