The Increasing Importance of Industry Factors

Cavaglia, Stefano; Brightman, Christopher; Aked, Michael

doi:10.2469/faj.v56.n5.2389

Cited by 381 publications

(183 citation statements)

References 17 publications

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“…Moreover, most of them do not find any growing importance of industries relative to countries with data extending up to 1998. The first two papers that give credit to the practitioners top-down industry approach are Baca, Garbe and Weiss (2000) and Cavaglia, Brightman and Aked (2000). They find out that the industry factors have become more and more influential over the period 1995 to 1999.…”

Section: Literature Reviewmentioning

confidence: 99%

“…In particular, Baca, Garbe and Weiss (2000) conclude that the influence of the country factor was on average two to three times larger than the industrial factor until 1995 but that this ratio has dropped to 1.23 during the 48 months prior to March 1999. Cavaglia, Brightman, and Aked (2000) are the first to report that industry effects are more important than country effects at the end of the nineties.…”

Section: Literature Reviewmentioning

confidence: 99%

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Are Practitioners Right? On The Relative Importance of Industrial Factors In International Stock Returns

Isakov

Sonney

2002

SSRN Journal

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Abstract:This paper investigates the relative influences of industrial and country factors in international stock returns. Until very recently, academic research has consistently found that country factors dominate industrial factors. This result is in contradiction with practitioners beliefs. This paper re-examines this issue by analyzing a sample of more than 4000 stocks quoted in 20 developed countries. We find that on average the country effect still dominates stock returns over the period 1997-2000. This result has to be interpreted with caution though, as an analysis that allows these relative influences to change over time demonstrates the rapidly increasing impact of industry effects in recent times. We find, in particular, that this trend is common to all 20 developed countries considered and not only to those that are member of the European Monetary Union. We interpret this result as evidence of the increasing globalization of international equity markets.JEL Codes : F21; G12; G15

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Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Are Practitioners Right? On The Relative Importance of Industrial Factors In International Stock Returns

Isakov

Sonney

2002

SSRN Journal

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“…As national borders fade and capital markets integrate, sector allocation (rotation) strategies become more appropriate and more valuable in global investing than country allocation strategies (Weiss, 1998). Cavaglia, Brightman, and Aked 2000), provide evidence of the increasing importance of global industry factors relative to country factors as determinants of security returns. We extend the investigation by testing for evidence of industry timing ability using data and methodology explained in the following section.…”

Section: Introductionmentioning

confidence: 99%

On the timing of managed funds’ industry exposure

Sawicki

2017

JEFS

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An important source of performance for active managers is industry weighting, yet this is neglected by the performance evaluation literature. Most market timing studies are conducted at a broad level, assessing exposure to equities as an asset class. This paper investigates the ability of US equity fund managers to time industry performance. The results indicate that, as a group, the funds exhibit no timing skills, with positive timing as frequent as negative timing. There is a subset of funds however, that appear to have strong forecasting abilities, correctly timing industries that are otherwise poorly timed by most fund managers. General timing ability is weakest in the Finance, Cyclical Services and Information Technology industries, while Consumer Goods industries show the best timing results.

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“…Of course, this is the exception rather than the rule, but, nevertheless, it is informative. It is easier to have superior company ROR in an industry which is doing well (Cavaglia, Brightman and Aked, 2000).…”

Section: Introductionmentioning

confidence: 99%

The Preponderance of Stock Picking Techniques: The Practice of Applied Money Managers

Arize¹,

Kallianotis²,

Liu³

et al. 2014

AFR

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This study examines the diverse methods practitioners of money management use in order to choose stock investments. Practitioners mainly use fundamental analysis and technical analysis. Very few use the Efficient Market Hypothesis as a key method. We emphasize fundamental analysis and the diverse techniques which are subsumed under it. Market timing and industry analysis are two contenders to stock picking, even though, it is possible to have stock picking together with the other two techniques. When we deal with stock picking techniques, we discover they use discounted cash flow, multiples and balance sheet approaches. Additionally, they consider industry forces such as demographics and psychographics.

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The Increasing Importance of Industry Factors

Cited by 381 publications

References 17 publications

Are Practitioners Right? On The Relative Importance of Industrial Factors In International Stock Returns

Are Practitioners Right? On The Relative Importance of Industrial Factors In International Stock Returns

On the timing of managed funds’ industry exposure

The Preponderance of Stock Picking Techniques: The Practice of Applied Money Managers

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