Interaction Effects in the Cross-Section of Country and Industry Returns
(2024)
Journal Article
Umar, Z., Zaremba, A., Umutlu, M., & Mercik, A. (online). Interaction Effects in the Cross-Section of Country and Industry Returns. Journal of Banking and Finance, Article 107200. https://doi.org/10.1016/j.jbankfin.2024.107200
We comprehensively examine the interaction effects in the cross-sectional predictability of country and industry returns. Using nearly five decades of data from 68 countries, we construct all possible double-sorted portfolios based on 44 portfolio ch... Read More about Interaction Effects in the Cross-Section of Country and Industry Returns.