The authors of this article view the international equity market through the lens of a multiple-factor risk model. They find that the most important attribute of a company is its country. Industry is also important. Industries linked by commodity prices and markets (energy, banks, casualty insurance, and metals) are more significant than unconnected industries (consumer goods). The importance of industries has not increased from 1983 through 1988.
Publication: Journal of Portfolio Management
Authors: GRINOLD Richard, RUDD Andrew, STEFEK Dan
