KIM, Haksoon - In: Czech Journal of Economics and Finance (Finance a uver) 56 (2006) 11-12, pp. 534-551
A hypothesis is examined in support of Jin and Myers (2006) using cross-country individual stock’s R2 (i.e., individual stock’s R2 are calculated from the market-model regression using each country’s market return and U.S. market returns). Consistent with Jin and Myers, R2 has consistently...