International Stock Return Comovements
用国家-行业和国家-风格组合作为基础组合，研究国际股票收益联动，发现简约风险因子模型优于流行模型，并总结出三个典型事实：除欧洲外无上升趋势、行业因素相对重要性短暂、大盘成长股跨国相关性更高且差距扩大。
ABSTRACT We examine international stock return comovements using country‐industry and country‐style portfolios as the base portfolios. We first establish that parsimonious risk‐based factor models capture the data covariance structure better than the popular Heston–Rouwenhorst (1994) model. We then establish the following stylized facts regarding stock return comovements. First, there is no evidence for an upward trend in return correlations, except for the European stock markets. Second, the increasing importance of industry factors relative to country factors was a short‐lived phenomenon. Third, large growth stocks are more correlated across countries than are small value stocks, and the difference has increased over time.