We investigate, from a portfolio performance perspective, the relative importance of country and industry factors as determinants of international equity returns in the Euro-zone over the 1990 to 2003 period. Although industry- and country-based portfolios are indistinguishable in terms of...

Currency risk hedging typically aims at minimizing portfolio volatility. We find that while hedging lowers the volatility of international equity and bond portfolios, it also lowers portfolio returns. Furthermore, Sharpe ratios often deteriorate, portfolio skewness worsens and its kurtosis...

This paper investigates whether Euro-zone equity returns are driven by country or industry effects over the 1990 to 2008 period. Using a style analysis approach, we find that before the introduction of the Euro country effects dominate, while industry effects prevail after 1999. This reversal at...

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 detect significant differences...