RT Journal Article
SR Electronic
T1 Should You Tilt Your Equity Portfolio to Smaller Countries?
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 127
OP 141
DO 10.3905/jpm.2017.44.1.127
VO 44
IS 1
A1 Gregg S. Fisher
A1 Ronnie Shah
A1 Sheridan Titman
YR 2017
UL https://pm-research.com/content/44/1/127.abstract
AB 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