We examine over the last decade the relative importance of country and sector effects in explaining the cross-sectional variation in returns of stocks from developed markets. We use a methodology similar to Heston and Rouwenhorst, and document that sector effects have dominated country effects...

This study compares the relative importance of thirteen attributes in explaining the cross-sectional variations in the returns of hedge funds, using a large sample from the TASS database covering the 1989-2005 period. We use a simple characteristic-based model of return decomposition, which has...