A Latent Factor Model with Global, Country, and Industry Shocks for International Stock Returns /

We estimate a latent factor model that decomposes international stock returns into global, country-, and industry-specific shocks and allows for stock-specific exposures to these shocks. We find that across stocks there is substantial dispersion in these exposures, which is partly explained by the e...

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Bibliographic Details
Main Author: Del Negro, Marco
Other Authors: Brooks, Robin
Format: Journal
Language:English
Published: Washington, D.C. : International Monetary Fund, 2005.
Series:IMF Working Papers; Working Paper ; No. 2005/052
Online Access:Full text available on IMF
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245 1 2 |a A Latent Factor Model with Global, Country, and Industry Shocks for International Stock Returns /  |c Marco Del Negro, Robin Brooks. 
264 1 |a Washington, D.C. :  |b International Monetary Fund,  |c 2005. 
300 |a 1 online resource (34 pages) 
490 1 |a IMF Working Papers 
500 |a <strong>Off-Campus Access:</strong> No User ID or Password Required 
500 |a <strong>On-Campus Access:</strong> No User ID or Password Required 
506 |a Electronic access restricted to authorized BRAC University faculty, staff and students 
520 3 |a We estimate a latent factor model that decomposes international stock returns into global, country-, and industry-specific shocks and allows for stock-specific exposures to these shocks. We find that across stocks there is substantial dispersion in these exposures, which is partly explained by the extent to which firms operate across countries. We show that portfolios consisting of stocks with low exposures to country shocks achieve substantial variance reduction relative to the global market, both in- and out-of-sample. The shock exposures are thus a stock-selection device for international portfolio diversification. 
538 |a Mode of access: Internet 
700 1 |a Brooks, Robin. 
830 0 |a IMF Working Papers; Working Paper ;  |v No. 2005/052 
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