Market segmentation and international diversification across country and industry portfolios
(2023)
Journal Article
Umutlu, M., Yargı, S. G., & Zaremba, A. (2023). Market segmentation and international diversification across country and industry portfolios. Research in International Business and Finance, 65, Article 101954. https://doi.org/10.1016/j.ribaf.2023.101954
We conjecture that partially segmented stock indexes that are characterized by low correlation with the world market are mainly priced by local factors and should produce abnormal returns relative to a global asset-pricing model. This implies a negat... Read More about Market segmentation and international diversification across country and industry portfolios.