Country and Industry Importance in European Returns

34 Pages Posted: 15 Dec 1999

See all articles by Leila Heckman

Leila Heckman

Salomon Smith Barney, Inc., U.S.

Singanallur R. Narayanan

Salomon Smith Barney, Inc., U.S.

Sandeep A. Patel

Standard & Poor's - Information Services

Date Written: February 11, 1999

Abstract

We examine country and industry influences on returns of companies in 15 European countries from June 1989 to August 1998. We investigate the sources of earlier disparate conclusions on the relative influence of country and industry. We find that the conclusions on sector/industry influences depend on whether broader sector or narrower industry effects are examined. Importance of broadly defined sectors is low possibly because of low correlations among industries within sectors documented in our research. We found that over the whole time period country effects are more important than industry effects even after controlling for estimation errors that are inversely related to the number of companies in countries and industries. During the last five years, the research shows that country effect are becoming similar in size to industry effects. Our results suggest that industries are more important for large cap than small cap companies.

JEL Classification: G11, G12, G15

Suggested Citation

Heckman, Leila and Narayanan, Singanallur R. and Patel, Sandeep A., Country and Industry Importance in European Returns (February 11, 1999). Available at SSRN: https://ssrn.com/abstract=169455 or http://dx.doi.org/10.2139/ssrn.169455

Leila Heckman

Salomon Smith Barney, Inc., U.S. ( email )

New York, NY 10013
United States
212-816-8744 (Phone)
212-816-8056 (Fax)

Singanallur R. Narayanan

Salomon Smith Barney, Inc., U.S. ( email )

New York, NY 10013
United States
212-816-8825 (Phone)
212-816-8056 (Fax)

Sandeep A. Patel (Contact Author)

Standard & Poor's - Information Services ( email )

55 Water Street
New York, NY 10041
United States
212-438-3917 (Phone)

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