The paper compares the dynamics of global, country and industry effects in firm level returns between emerging and mature markets. Based on 1893 firms in MSCI global index from 1990 to 2002 from 37 countries, our results show that the global and industry effects are still dominated by the country effects in emerging markets in contrast to developed markets. The results are robust to controlling for variables, which might have significant impact on firms' factor effects, such as the firm's business globalization, financial market integration and TMT sector affiliation. Our findings have important implications for international portfolio diversification. © 2006 Elsevier Ltd. All rights reserved.
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