01746cas a2200253 a 4500 AALejournalIMF003460 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451860719 1018-5941 BD-DhAAL BD-DhAAL Del Negro, Marco. A Latent Factor Model with Global, Country, and Industry Shocks for International Stock Returns / Marco Del Negro, Robin Brooks. Washington, D.C. : International Monetary Fund, 2005. 1 online resource (34 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students 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. Mode of access: Internet Brooks, Robin. IMF Working Papers; Working Paper ; No. 2005/052 Full text available on IMF http://elibrary.imf.org/view/journals/001/2005/052/001.2005.issue-052-en.xml IMF e-Library