Global equity styles and industry effects: the pre-eminence of value relative to size |
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| Institution: | 1. Department of International Trade, National Chengchi University, Taipei 116, Taiwan;2. Trinity College, University of Cambridge, Trinity Street, Cambridge CB2 1TQ, UK;1. Department of Money and Banking, National Chengchi University, Taiwan, R.O.C.;2. Taiwan Academy of Banking and Finance, Taiwan, R.O.C.;1. Koc University, Turkey;2. University of the Pacific, United States;3. Board of Governors of the Federal Reserve System, United States;1. Department of Finance, Cleveland State University, Cleveland, OH 44115-2214, United States;2. Quantitative Risk Analysis Group, KeyBank, Cleveland, OH 44114-1306, United States;1. Department of Economics, University of Cambridge, Austin Robinson Building, Sidgwick Avenue, Cambridge CB3 9DD, United Kingdom;2. Department of Economics, Seoul National University, Seoul 151-742, Republic of Korea;3. Department of International Business, National Chengchi University, 64, Sec. 2, Zhi-nan Rd., Wenshan, Taipei 116, Taiwan;1. Department of Money and Banking, National Chengchi University, Taipei, Taiwan;2. Department of International Business, Providence University, Taichung, Taiwan |
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| Abstract: | We extend the model of Heston and Rouwenhorst, (1994) J. Fianc. Econom. 36, 3–27] to investigate the effects of size, value, industry, and country factors on the volatility of stock returns in international stock markets. In common with previous authors, we find that country factors dominate the other factors in explaining the return variation. The second most important factors are industry factors followed by value and size factors. Furthermore, after removing possible influences from country and industry factors, we find that there still is a global value effect but not a global size effect. Our data set finishes in 1995 — thus, if there are global super-stocks, they do not appear to have been historically important. |
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