Has Europe outgrown its national boundaries?

T Goodwin and L Ross ()
Additional contact information
T Goodwin: Senior research analyst, Frank Russell Limited in London
L Ross: Frank Russell Company

Journal of Asset Management, 2002, vol. 3, issue 1, No 5, 39-54

Abstract: Abstract This paper provides a robust examination of the shift from country to sector as the primary risk driver for large cap European equities. This study differs from many others in that it utilises both cross-sectional and time-series techniques, index and stock-level data, and two sector definitions. Moreover, it examines the effect of the technology sector, a unified currency and capitalisation size on both pan- and continental-European data to affirm the robustness of the findings. Ultimately, it is shown that, with the notable exception of small capitalisation stocks, sector has gained importance over country as Europe has moved toward financial integration and a unified currency. This conclusion is not sensitive to the technology sector, currency, data vendor, modelling technique or sector definition. The paper concludes with a discussion of implications for the investment management community.

Keywords: factor model; multi-beta model; country and sector risk; European equity; stock-level analysis (search for similar items in EconPapers)
Date: 2002
References: Add references at CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1057/palgrave.jam.2240064 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pal:assmgt:v:3:y:2002:i:1:d:10.1057_palgrave.jam.2240064

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/41260

DOI: 10.1057/palgrave.jam.2240064

Access Statistics for this article

Journal of Asset Management is currently edited by Marielle de Jong and Dan diBartolomeo

More articles in Journal of Asset Management from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().