Geographic Investing: Stock Return Indexes Based on Company Operations
提出基于公司实际运营活动（而非总部所在地）构建国家股票指数，并与行业现有国内收入暴露指数对比，发现新指数能更准确追踪地理风险，对投资组合管理者有参考价值。
Portfolio allocations to firms of various geographic areas should be guided by underlying risks of operations. In most statistical studies of international stock returns, a firm is included in a country’s index if its headquarters is located in that country, a classification scheme that ignores the operations of the firm taking place in multiple geographic areas. In prior work, we have proposed a model of country factors that is based on the business activities of all firms operating in a country, be they domestic firms or multinationals. In the present paper, we compare the resulting indexes with the domestic revenue exposure indexes already available in the industry. We conclude that our new indexes allow a portfolio manager to track geographic risk much more accurately.