Bridge over ocean
1 September 2011 Financial Analysts Journal Volume 67, Issue 5

Decomposing Global Equity Cross-Sectional Volatility

  1. Jose Menchero
  2. Andrei Morozov

The authors present an exact methodology for decomposing cross-sectional volatility into contributions from various factors. Treating country, industry, and style factors equally, they used their framework to investigate several relevant issues in the global equity markets, including the importance of country versus industry, emerging markets versus developed markets, and the strength of style factors vis-à-vis country and industry factors.

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