If you are experiencing problems downloading PDF or HTML fulltext, our helpdesk recommend clearing your browser cache and trying again. If you need help in clearing your cache, please click here . Still need help? Email help@ingentaconnect.com

Region, sector and style selection in global equity markets

$43.00 plus tax (Refund Policy)

Buy Article:


This paper determines and decomposes the importance of region, industry sector, size and value–growth allocation policies within global equity portfolios and focuses on the interaction between these four equity allocation decisions. It also attempts to explain return variability over time and among stocks. The research results imply that equity allocations can be considered independently of each other; however, redundancy effects can be substantial. The authors find significant differences in the economic relevance of each of the allocation themes. In the time-series dimension (or in the long term), industry sector effects are more than twice as important as region effects and about six times more important than size and value effects. In the cross-sectional dimension (or in the short term), the differences between effects of equity allocation are smaller but still substantial. For both dimensions, industry sector effects are becoming more important. The explanatory power of allocation decisions within equity portfolios has implications for the structure of equity research as well as portfolio construction. This study reveals how to allocate research and risk budgets among the basic approaches to equity investment.Journal of Asset Management (2004) 4, 293–307; doi:10.1057/palgrave.jam.2240110

Document Type: Research Article

DOI: http://dx.doi.org/10.1057/palgrave.jam.2240110

Affiliations: 1: 1ING Investment Management, Prinses Beatrixlaan 15, P.O. Box 90470, 2509 LL, The Hague, The Netherlands, Tel: +31 70 3781121, Email: Ronald.van.IIM.Dijk@ingim.com 2: 2quantitative analyst in the equities department at Aegon Asset Management, based in The Hague

Publication date: February 1, 2004

Related content

Share Content

Access Key

Free Content
Free content
New Content
New content
Open Access Content
Open access content
Subscribed Content
Subscribed content
Free Trial Content
Free trial content
Cookie Policy
Cookie Policy
ingentaconnect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more