Moor, Lieven de; Sercu, Piet - 2007
-firm
phenomenon.
JEL classification: G11, G12, G15.
Key words: international stock returns, world, country, sector, small firms … well
spanned by a world factor and foreign large-cap factors or exchange rates, the small-cap sec-
tions of the national … generated by four factors: the world factor ω; the factor of the stock’s country, κK(j),t;
the factor of the stock’s sector, ιI …