TY - JOUR T1 - Should You Tilt Your Equity Portfolio to Smaller Countries? JF - The Journal of Portfolio Management SP - 127 LP - 141 DO - 10.3905/jpm.2017.44.1.127 VL - 44 IS - 1 AU - Gregg S. Fisher AU - Ronnie Shah AU - Sheridan Titman Y1 - 2017/10/31 UR - https://pm-research.com/content/44/1/127.abstract N2 - In this article, the authors examine the relationship between country size, measured as the aggregate market capitalization of the listed stocks in a country, and individual stock returns. They find that stocks from small countries tend to have higher average returns than stocks from large countries. The country size effect is largely independent of the firm size effect and other country quantitative factors such as book/market and momentum. The authors conjecture that the country size effect is due to home bias and provide mixed evidence in support of this conjecture.TOPICS: Fundamental equity analysis, analysis of individual factors/risk premia, emerging ER -