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Risks of Sector Rotation Strategies
11 references·4 citing·46 second hop
Risks of Sector Rotation Strategies (2001)Risks of Sector Rotation StrategiesGlobal Pricing of Equity (2001)Global Pricing of EquityThe Increasing Importance of Industry Factors (2000)The Increasing Importance of …European Equity Markets and the EMU (2000)European Equity Markets and t…European Equity Markets and the EMU (1999)European Equity Markets and t…Another look at the role of the industrial structure of markets for international diversification strategies1We are especially grateful to Pat Casey and Virge Cavalli at Dow Jones for providing the Dow Jones World Stock Index data and for their assistance with numerous queries. We gratefully acknowledge the comments of Geert Bekaert, William Brigham, Shane Corwin, Steve Foerster, Jeff Harris, Steve Heston, Ajay Khorana, David Mayers, John Persons, René Stulz, and particularly, the referee (Geert Rouwenhorst) and editor (John Long). We also thank participants at the University of Alberta, University of Toronto and Ohio State University, the 1996 UBC Global Investment Conference (Whistler), 1996 International Finance Conference (Georgia Tech), 1996 Western Finance Association Conference, and 1996 Financial Management Association Conference for helpful suggestions. Karolyi thanks the Dice Center for Financial Economics and the Social Sciences and Humanities Research Council of Canada for financial support.1 (1998)Another look at the role of t…National versus Global Influences on Equity Returns (1996)National versus Global Influe…The General Framework for Global Investment Management and Performance Attribution (1995)The General Framework for Glo…Industry and Country Effects in International Stock Returns (1995)Industry and Country Effects …What Determines Expected International Asset Returns? (1994)What Determines Expected Inte…Does industrial structure explain the benefits of international diversification? (1994)Does industrial structure exp…Global factors (1989)Global factorsHow pervasive is the effect of culture on stock market linkages? Evidence across regions and economic cycles (2017)How pervasive is the effect o…European financial market dependence: An industry analysis (2015)European financial market dep…Investing in Global Equities (2004)Investing in Global EquitiesInternational Diversification Strategies (2003)International Diversification…The financial analysts journal (1960)The Exchange-Rate Exposure of U.S. Multinationals (1990)Time‐Varying World Market Integration (1995)The valuation of closely-held companies in Latin America (2001)Industry herding and market states: evidence from Chinese stock markets (2013)International capital flows, returns and world financial integration (2013)Extra-Market Components of Covariance in Security Returns (1974)International Portfolio Choice and Corporation Finance: A Synthesis (1983)Industry Risk and Market Integration (2004)Behavior of GCC stock markets and impacts of US oil and financial markets (2005)Industry Classifications and Return Comovement (2007)Internationally Diversified Portfolios: Welfare Gains and Capital Flows (1968)International Diversification of Investment Portfolios (1970)Market Integration and Investment Barriers in Emerging Equity Markets (1995)Volatility Spillover Effects in European Equity Markets (2005)Global market integration: An alternative measure and its application☆ (2009)Why Not Diversify Internationally Rather Than Domestically? (1974)Another Look at the Role of the Industrial Structure of Markets for International Diversification Strategies (1996)Modern Investment Management: An Equilibrium Approach (2003)Market and Industry Factors in Stock Price Behavior (1966)Economic Forces and the Stock Market (1986)The rise in comovement across national stock markets: market integration or IT bubble? (2004)Comovement in international equity markets: A sectoral view (2005)European banking: An overview (2007)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The Cross-Section of Expected Stock Returns (1992)Equilibrium asset prices and exchange rates (1995)International Equity Flows and Returns: A Quantitative Equilibrium Approach (2007)Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums (2009)Home Bias in Equity Portfolios, Inflation Hedging, and International Capital Market Equilibrium (1994)Home bias and high turnover (1995)European Financial Integration and Equity Returns: A Theory-Based Assessment (2003)The Impact of the Euro on Europe's Financial Markets (2005)Stock market synchronization and monetary integration (2010)Investor Diversification and International Equity Markets (1991)Explaining Stock Market Correlation: \nA Gravity Model Approach (2001)The impact of the euro on Europe's financial markets (2003)Volatility and shocks spillover before and after EMU in European stock markets (2003)Risk, Return, and Equilibrium: Empirical Tests (1973)Correlations in Price Changes and Volatility across International Stock Markets (1990)Can the Gains from International Diversification Be Achieved without Trading Abroad? (1999)International Competition and Exchange Rate Shocks: A Cross-Country Industry Analysis of Stock Returns (2001)Stocks, bonds, money markets and exchange rates: measuring international financial transmission (2010)Continental Factors in International Real Estate Returns (1998)Clustering Huge Number of Financial Time Series: A Panel Data Approach With High-Dimensional Predictors and Factor Structures (2016)
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References

  • 1994Does industrial structure explain the benefits of international diversification?746 cited
  • 2000The Increasing Importance of Industry Factors457 cited
  • 1998Another look at the role of the industrial structure of markets for international diversification strategies1We are especially grateful to Pat Casey and Virge Cavalli at Dow Jones for providing the Dow Jones World Stock Index data and for their assistance with numerous queries. We gratefully acknowledge the comments of Geert Bekaert, William Brigham, Shane Corwin, Steve Foerster, Jeff Harris, Steve Heston, Ajay Khorana, David Mayers, John Persons, René Stulz, and particularly, the referee (Geert Rouwenhorst) and editor (John Long). We also thank participants at the University of Alberta, University of Toronto and Ohio State University, the 1996 UBC Global Investment Conference (Whistler), 1996 International Finance Conference (Georgia Tech), 1996 Western Finance Association Conference, and 1996 Financial Management Association Conference for helpful suggestions. Karolyi thanks the Dice Center for Financial Economics and the Social Sciences and Humanities Research Council of Canada for financial support.1377 cited
  • 1995Industry and Country Effects in International Stock Returns225 cited
  • 1989Global factors183 cited
  • 1999European Equity Markets and the EMU172 cited
  • 1996National versus Global Influences on Equity Returns162 cited
  • 2000European Equity Markets and the EMU117 cited
  • 1994What Determines Expected International Asset Returns?108 cited
  • 2001Global Pricing of Equity84 cited
  • 1995The General Framework for Global Investment Management and Performance Attribution35 cited

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Cited by

  • 2003International Diversification Strategies28 cited
  • 2015European financial market dependence: An industry analysis24 cited
  • 2004Investing in Global Equities24 cited
  • 2017How pervasive is the effect of culture on stock market linkages? Evidence across regions and economic cycles21 cited