de Moor, Lieven L.; Sercu, Piet - Solvay Brussels School of Economics and Management, … - 2010
:3-27, 1994), there has been a debate whether country factors in international stock returns are typically more variable than … sector factors. The addition of emerging markets (EMs) does boost the ratio of country-factor variance relative to industry … have higher volatility, but only after controlling for country and sector affiliation. (2) Small firms do have weaker …
