{
  "title": "Country and Industry Dynamics in Stock Returns",
  "publication": "IMF Working Papers, March 1, 2003",
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  "summary": "A perennial question in international finance is to what extent stock returns are influenced by country-location, as opposed to industry-affiliation, factors.",
  "sections": [
    {
      "heading": "Summary",
      "content": "- Authors: Luis Catão, Allan Timmermann\n- Date: March 1, 2003\n- Series: Working Paper No. 2003/052\n- Issue: 052\n- Volume: 2003\n- Pages: 51\n- DOI: https://doi.org/10.5089/9781451847277.001\n- ISBN: 9781451847277\n- ISSN: 1018-5941\n- Core question: To what extent are stock returns influenced by country-location factors versus industry-affiliation factors?"
    },
    {
      "heading": "Methodology",
      "content": "- Constructs portfolios mimicking \"pure\" country and industry factors.\n- Models the joint dynamics of these constructed portfolios as regime-switching processes.\n- Estimation is performed using global firm-level data spanning the past thirty years (as used in the paper)."
    },
    {
      "heading": "Key Findings",
      "content": "- Identification of well-defined volatility states over the past thirty years through the regime-switching model.\n- The contribution of the industry factor becomes systematically more prominent during high global volatility states, while the country factor contribution declines.\n- Portfolio diversification possibilities vary considerably across economic states, based on the model's estimates."
    },
    {
      "heading": "Subject Areas and Keywords",
      "content": "- Subject: Econometric analysis, Expenditure, Financial institutions, Financial markets, Market capitalization, Public expenditure review, Stock markets, Stocks, Time series analysis\n- Keywords: country effect, country portfolio, Diversification, Europe, Global, industry factor, industry portfolio, industry state process, International Financial Markets, Market capitalization, Public expenditure review, Regime Switching, Risk, Stock markets, Stocks, Time series analysis, volatility State, Volatility States, WP"
    },
    {
      "heading": "Publication Metadata (for reference)",
      "content": "- Stock No: WPIEA0522003\n\nIMF Working Paper — \"Country and Industry Dynamics in Stock Returns\" by Luis Catão and Allan Timmermann, March 1, 2003.\n\n---\n\n Content in this bundle\n\n- Country and Industry Dynamics in Stock Returns - WP/03/52, Rev. 1\n  - Country and Industry Dynamics in Stock Returns - WP/03/52, Rev. 1 (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - Country and Industry Dynamics in Stock Returns - WP/03/52, Rev. 1 (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2016/12/30/country-and-industry-dynamics-in-stock-returns-16351"
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    "Authors: Luis Catão, Allan Timmermann",
    "Published: March 1, 2003",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781451847277.001",
    "Authors: Luis Catão, Allan Timmermann",
    "Date: March 1, 2003",
    "Series: Working Paper No. 2003/052",
    "Issue: 052",
    "Volume: 2003",
    "Pages: 51",
    "DOI: https://doi.org/10.5089/9781451847277.001",
    "ISBN: 9781451847277",
    "ISSN: 1018-5941",
    "Core question: To what extent are stock returns influenced by country-location factors versus industry-affiliation factors?",
    "Constructs portfolios mimicking \"pure\" country and industry factors.",
    "Models the joint dynamics of these constructed portfolios as regime-switching processes.",
    "Estimation is performed using global firm-level data spanning the past thirty years (as used in the paper).",
    "Identification of well-defined volatility states over the past thirty years through the regime-switching model.",
    "The contribution of the industry factor becomes systematically more prominent during high global volatility states, while the country factor contribution declines.",
    "Portfolio diversification possibilities vary considerably across economic states, based on the model's estimates.",
    "Subject: Econometric analysis, Expenditure, Financial institutions, Financial markets, Market capitalization, Public expenditure review, Stock markets, Stocks, Time series analysis",
    "Keywords: country effect, country portfolio, Diversification, Europe, Global, industry factor, industry portfolio, industry state process, International Financial Markets, Market capitalization, Public expenditure review, Regime Switching, Risk, Stock markets, Stocks, Time series analysis, volatility State, Volatility States, WP",
    "Stock No: WPIEA0522003",
    "**Country and Industry Dynamics in Stock Returns - WP/03/52, Rev. 1**"
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