TY - JOUR T1 - Country versus Region Effects in International Stock Returns JF - The Journal of Portfolio Management SP - 67 LP - 72 DO - 10.3905/jpm.2005.570152 VL - 31 IS - 4 AU - Robin Brooks AU - Marco Del Negro Y1 - 2005/07/31 UR - https://pm-research.com/content/31/4/67.abstract N2 - An empirical regularity in the portfolio diversification literature is the importance of country effects in explaining international return variation. A new decomposition here disaggregates these country effects into region effects and within-region country effects. Half of the return variation typically attributed to country effects seems attributable actually to region effects, a result robust across developed and emerging markets; the remaining variation is explained by within-region country effects. For the average investor, this means that diversifying across countries within Europe, for example, delivers half the risk reduction possible from diversifying across regions globally. ER -