Eiling, Esther; Gerard, Bruno; Hillion, Pierre; Roon, … - In: Journal of International Money and Finance 31 (2012) 5, pp. 1249-1278
We examine the relative importance of country, industry, world market and currency risk factors for international stock returns. Our approach focuses on testing the mean-variance efficiency of the various factor portfolios. An unconditional analysis does not show significant differences between...