PL EN


2005 | 53 | 4 | 399-414
Article title

THE IMPORTANCE OF INDUSTRY AND COUNTRY EFFECTS IN PORTFOLIO DIVERSIFICATION

Title variants
Languages of publication
SK
Abstracts
EN
The paper assesses the importance of industry effects present in stock returns, and compares them to country effects. We follow the assumption that strong industry effects might be present as a result of increasing power of globalization and economic integration, which lower the country-level differences. We find this development to be a contradiction to the theories of previous decades that suggested a dominance of country over the industry effects. As the economies change, we expect the country effect to become less dominant, or even fall behind the industry effects. These ideas are used in an application of portfolio management, in which we compare the risk and return characteristics of portfolios created using different strategies. By forming diversified and concentrated portfolios with industrial and country emphasis we show that industry diversification provides the greatest risk reduction.
Contributors
  • T. Vyrost, Ustav slovenskej a svetovej ekonomiky SAV, Sancová 56, 811 05 Bratislava 1, Slovak Republic
References
Document Type
Publication order reference
Identifiers
CEJSH db identifier
06SKAAAA00882117
YADDA identifier
bwmeta1.element.308e6629-95f5-3337-b9bc-11ba5f5a30bd
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