Showing 1 - 1 of 1
We examine international stock return comovements using country-industry and country-style portfolios as the base portfolios. We first establish that parsimonious risk-based factor models capture the covariance structure of the data better than the popular Heston- ouwenhorst (1994) model. We...
Persistent link: https://www.econbiz.de/10005222289