Relative importance of industry and country factors in security returns

Dynamic relationships between industry returns and stock market returns

“…This study agrees with Wang et al (2003) who disclose significant industry effects on returns in current mainstream industries. Whereas Wang et al (2003) show that computer software, electronics, semiconductors, and wireless and telecommunications equipment were the mainstream sectors during 1990-2001, we find that SVS and FIN are the current mainstream industries, and IT has diminished its importance in explaining market returns, which is consistent with Tessitore and Usmen (2005). We concur with Chen and De Bondt (2004) that styles perform variously over time.…”

“…Among the ten industries, the three with higher returns are MATS, GDS, and OIL in our sample, which are contrary to Yang, Tapon, and Sun (2006) who document that TECH had the highest return during the IT boom period of 1998 to 2002. MATS having the highest average return (0.00069) is consistent with Tessitore and Usmen (2005) who find that MATS dominated during 2001-2010 using UK and U.S. samples.…”

“…As a large body of research concentrates on the unidirectional relationship between industry and stock market returns and produces divergent findings, little of the studies discuss about the bi-relationships. For instance, Tessitore and Usmen (2005) compare different industries and find that financials and telecommunications are the dominant industries in explaining stock market returns. Hong, Torous, and Valkanov (2007) verify that industries can lead the stock market, because the returns of industry portfolios that are informative about macroeconomic fundamentals are shown to lead the aggregate market.…”

“…Wang, Lee, and Huang (2003) indicate that the influence of the information technology (IT) industry on the stock market apparently dominates that of traditional industries. Tessitore and Usmen (2005) demonstrate that the importance of the IT industry on returns has diminished, and the prominent contributors to industry effects are financials and telecommunications. Thus, the result of the industry returns-stock market returns nexus is still inconclusive.…”

Asymmetric effects of investor sentiment on industry stock returns: Panel data evidence

“…There are numerous industry-return nexus studies, e.g., industry effects of investment performance (Bjuggren and Wiberg, 2008;Lee et al, in press), industries that predict stock markets (Chou et al, 2012), the influence of country and industry factors on returns (Serra, 2000), international diversification (Griffin and Karolyi, 1998), comparison with the country effect (Tessitore and Usmen, 2005), and stock markets (Roll, 1992). Additionally, Cavaglia et al (2000) show that diversification across global industries provides a greater risk reduction than diversification across countries.…”