1 Introduction
2 Data and Methodology
2.1 Multinationality Classification
2.2 Extended CAPM Factor Model
2.3 Mean–Variance Spanning (MVS) and Sharpe Ratio Tests
3 Results
3.1 Investing Based on International Operations
Domestic | Regional | T2 | T3 | T4 | T5 | Global | |
---|---|---|---|---|---|---|---|
Classification of firms based on sales | |||||||
1998 | 35 (21.34%) | 0 (0.00%) | 34 (20.73%) | 42 (25.61%) | 35 (21.34%) | 16 (9.76%) | 2 (1.22%) |
1999 | 34 (21.12%) | 0 (0.00%) | 27 (16.77%) | 40 (24.84%) | 42 (26.09%) | 16 (9.94%) | 2 (1.24%) |
2000 | 30 (18.52%) | 0 (0.00%) | 28 (17.28%) | 43 (26.54%) | 43 (26.54%) | 17 (10.49%) | 1 (0.62%) |
2001 | 23 (14.84%) | 1 (0.65%) | 25 (16.13%) | 35 (22.58%) | 49 (31.61%) | 21 (13.55%) | 1 (0.65%) |
2002 | 19 (12.26%) | 1 (0.65%) | 27 (17.42%) | 36 (23.23%) | 51 (32.90%) | 20 (12.90%) | 1 (0.65%) |
2003 | 17 (10.90%) | 1 (0.64%) | 29 (18.59%) | 36 (23.08%) | 51 (32.69%) | 22 (14.10%) | 0 (0.00%) |
2004 | 16 (10.26%) | 1 (0.64%) | 30 (19.23%) | 37 (23.72%) | 51 (32.69%) | 20 (12.82%) | 1 (0.64%) |
2005 | 16 (9.94%) | 1 (0.62%) | 29 (18.01%) | 43 (26.71%) | 47 (29.19%) | 24 (14.91%) | 1 (0.62%) |
2006 | 17 (10.37%) | 2 (1.22%) | 30 (18.29%) | 43 (26.22%) | 45 (27.44%) | 25 (15.24%) | 2 (1.22%) |
2007 | 16 (9.47%) | 3 (1.78%) | 31 (18.34%) | 47 (27.81%) | 44 (26.04%) | 27 (15.98%) | 1 (0.59%) |
2008 | 17 (9.94%) | 2 (1.17%) | 34 (19.88%) | 41 (23.98%) | 47 (27.49%) | 28 (16.37%) | 2 (1.17%) |
2009 | 18 (10.40%) | 2 (1.16%) | 33 (19.08%) | 39 (22.54%) | 52 (30.06%) | 27 (15.61%) | 2 (1.16%) |
2010 | 19 (10.67%) | 2 (1.12%) | 35 (19.66%) | 40 (22.47%) | 52 (29.21%) | 28 (15.73%) | 2 (1.12%) |
2011 | 21 (11.86%) | 3 (1.69%) | 38 (21.47%) | 26 (14.69%) | 57 (32.20%) | 29 (16.38%) | 3 (1.69%) |
2012 | 19 (10.73%) | 3 (1.69%) | 38 (21.47%) | 28 (15.82%) | 56 (31.64%) | 28 (15.82%) | 5 (2.82%) |
2013 | 56 (27.05%) | 7 (3.38%) | 43 (20.77%) | 41 (19.81%) | 36 (17.39%) | 22 (10.63%) | 2 (0.97%) |
2014 | 61 (28.37%) | 7 (3.26%) | 50 (23.26%) | 42 (19.53%) | 30 (13.95%) | 23 (10.70%) | 2 (0.93%) |
2015 | 66 (30.00%) | 8 (3.64%) | 50 (22.73%) | 41 (18.64%) | 31 (14.09%) | 22 (10.00%) | 2 (0.91%) |
Average | 27.78 | 2.44 | 33.94 | 38.89 | 45.5 | 23.06 | 1.78 |
Classification based on subsidiaries | |||||||
1998 | 5 (2.82%) | 9 (5.08%) | 28 (15.82%) | 64 (36.16%) | 46 (25.99%) | 23 (12.99%) | 2 (1.13%) |
1999 | 5 (2.82%) | 9 (5.08%) | 28 (15.82%) | 64 (36.16%) | 46 (25.99%) | 23 (12.99%) | 2 (1.13%) |
2000 | 12 (6.38%) | 5 (2.66%) | 25 (13.30%) | 72 (38.30%) | 49 (26.06%) | 23 (12.23%) | 2 (1.06%) |
2001 | 13 (6.88%) | 4 (2.12%) | 26 (13.76%) | 57 (30.16%) | 55 (29.10%) | 29 (15.34%) | 5 (2.65%) |
2002 | 13 (6.81%) | 8 (4.49%) | 28 (15.73%) | 57 (32.02%) | 46 (25.84%) | 32 (17.98%) | 7 (3.93%) |
2003 | 18 (9.18%) | 4 (2.04%) | 27 (13.78%) | 59 (30.10%) | 51 (26.02%) | 30 (15.31%) | 7 (3.57%) |
2004 | 19 (9.55%) | 6 (3.02%) | 28 (14.07%) | 61 (30.65%) | 46 (23.12%) | 26 (13.07%) | 13 (6.53%) |
2005 | 18 (9.09%) | 9 (4.55%) | 22 (11.11%) | 65 (32.83%) | 46 (23.23%) | 23 (11.62%) | 15 (7.58%) |
2006 | 18 (8.70%) | 6 (2.90%) | 24 (11.59%) | 65 (31.40%) | 45 (21.74%) | 29 (14.01%) | 20 (9.66%) |
2007 | 19 (9.18%) | 5 (2.42%) | 26 (12.56%) | 54 (26.09%) | 51 (24.64%) | 30 (14.49%) | 22 (10.63%) |
2008 | 20 (9.43%) | 5 (2.36%) | 25 (11.79%) | 54 (25.47%) | 56 (26.42%) | 31 (14.62%) | 21 (9.91%) |
2009 | 23 (11.11%) | 7 (3.38%) | 17 (8.21%) | 54 (26.09%) | 49 (23.67%) | 36 (17.39%) | 21 (10.14%) |
2011 | 15 (7.01%) | 10 (4.67%) | 27 (12.62%) | 70 (32.71%) | 41 (19.16%) | 27 (12.62%) | 24 (11.21%) |
2012 | 21 (10.10%) | 4 (1.92%) | 23 (11.06%) | 54 (25.96%) | 36 (17.31%) | 43 (20.67%) | 27 (12.98%) |
2013 | 14 (6.48%) | 5 (2.31%) | 31 (14.35%) | 55 (25.46%) | 51 (23.61%) | 42 (19.44%) | 18 (8.33%) |
2014 | 19 (8.96%) | 5 (2.36%) | 18 (8.49%) | 50 (23.58%) | 54 (25.47%) | 38 (17.92%) | 28 (13.21%) |
2015 | 15 (7.08%) | 7 (3.30%) | 22 (10.38%) | 42 (19.81%) | 53 (25.00%) | 44 (20.75%) | 29 (13.68%) |
Average | 14.83 | 6 | 23.61 | 55.39 | 45.61 | 29.39 | 14.61 |
Correlation with benchmark | Joint Wald test α = 0; β = 1 | Step Down Wald α = 0 | Step Down Wald β = 1 | Sharpe ratio | Optimal weight—no short selling | Change in sharpe ratio | Optimal weight—with short selling | Change in sharpe ratio | |
---|---|---|---|---|---|---|---|---|---|
Portfolios based on sales | |||||||||
Domestic (benchmark) | 29.68% | ||||||||
Regional | 0.37 | 7.97 (0.00) | 0.91 (0.33) | 7.97 (0.00) | 33.64% | 43.60% | 8.74% | 43.60% | 8.74% |
T2 | 0.64 | 28.06 (0.00) | 0.08 (0.77) | 28.06 (0.00) | 13.27% | 0.00% | 0.00% | − 33.33% | 0.92% |
T3 | 0.71 | 23.27 (0.00) | 0.41 (0.52) | 23.27 (0.00) | 31.90% | 60.99% | 3.75% | 60.99% | 3.75% |
T4 | 0.65 | 30.19 (0.00) | 0.00 (0.97) | 30.19 (0.00) | 19.46% | 0.88% | 0.00% | 0.88% | 0.00% |
T5 | 0.63 | 16.99 (0.00) | 0.16 (0.69) | 16.99 (0.00) | 10.78% | 0.00% | 0.00% | − 38.49% | 1.70% |
Global | 0.41 | 26.31 (0.00) | 0.08 (0.77) | 26.31 (0.00) | 18.05% | 14.93% | 0.69% | 14.93% | 0.69% |
Portfolios based on subsidiaries | |||||||||
Domestic (benchmark) | 20.96% | ||||||||
Regional | 0.75 | 0.4 (0.67) | 0.07 (0.78) | 0.40 (0.67) | 20.07% | 36.61% | 1.01% | 36.61% | 1.01% |
T2 | 0.73 | 16.29 (0.00) | 0.04 (0.84) | 16.29 (0.00) | 18.27% | 26.47% | 0.44% | 26.47% | 0.44% |
T3 | 0.66 | 20.32 (0.00) | 0.00 (0.97) | 20.32 (0.00) | 14.09% | 1.93% | 0.00% | 1.93% | 0.00% |
T4 | 0.64 | 19.06 (0.00) | 0.36 (0.54) | 19.06 (0.00) | 24.56% | 64.30% | 4.53% | 64.30% | 4.53% |
T5 | 0.58 | 25.49 (0.00) | 0.00 (0.95) | 25.49 (0.00) | 10.66% | 0.00% | 0.00% | − 9.08% | 0.08% |
Global | 0.51 | 12.29 (0.00) | 0.06 (0.79) | 12.29 (0.00) | 15.84% | 21.27% | 0.84% | 21.27% | 0.84% |
Portfolios based on sales and subsidiaries | |||||||||
Domestic (benchmark) | 20.15% | ||||||||
Regional | 0.64 | 58.59 (0.00) | 0.28 (0.59) | 58.59 (0.00) | 22.33% | 61.73% | 3.45% | 61.73% | 3.45% |
Trans-regional | 0.50 | 35.67 (0.00) | 0.83 (0.36) | 35.67 (0.00) | 29.23% | 74.78% | 9.77% | 74.78% | 9.77% |
Global | 0.46 | 36.82 (0.00) | 0.11 (0.74) | 36.82 (0.00) | 16.02% | 29.00% | 1.39% | 29.00% | 1.39% |
3.2 Investing Based on International Influences
1998 | 1999 | 2000 | 2001 | 2002 | 2003 | 2004 | 2005 | 2006 | 2007 | ||
---|---|---|---|---|---|---|---|---|---|---|---|
Influenced, no sales | Europe | 17 (7.56) | 5 (2.22) | 16 (7.11) | 4 (1.78) | 3 (1.33) | 18 (8.00) | 7 (3.11) | 4 (1.78) | 5 (2.22) | 8 (3.56) |
Asia | 15 (6.67) | 10 (4.44) | 20 (8.89) | 15 (6.67) | 43 (19.11) | 47 (20.89) | 24 (10.67) | 7 (3.11) | 4 (1.78) | 6 (2.67) | |
North America | 18 (8.00) | 5 (2.22) | 1 (0.44) | 3 (1.33) | 3 (1.33) | 1 (0.44) | 5 (2.22) | 5 (2.22) | 2 (0.89) | 4 (1.78) | |
South America | 10 (4.44) | 12 (5.33) | 13 (5.78) | 15 (6.67) | 5 (2.22) | 16 (7.11) | 11 (4.89) | 19 (8.44) | 1 (0.44) | 10 (4.44) | |
Africa | 7 (3.11) | 18 (8.00) | 5 (2.22) | 4 (1.78) | 26 (11.56) | 10 (4.44) | 7 (3.11) | 11 (4.89) | 24 (10.67) | 13 (5.78) | |
Oceania | 40 (17.78) | 6 (2.67) | 28 (12.44) | 15 (6.67) | 3 (1.33) | 7 (3.11) | 8 (3.56) | 8 (3.56) | 5 (2.22) | 7 (3.11) | |
Influenced, sales | Europe | 10 (4.44) | 3 (1.33) | 5 (2.22) | 4 (1.78) | 3 (1.33) | 16 (7.11) | 6 (2.67) | 2 (0.89) | 10 (4.44) | 1 (0.44) |
Asia | 6 (2.67) | 3 (1.33) | 9 (4.00) | 19 (8.44) | 40 (17.78) | 52 (23.11) | 27 (12.00) | 8 (3.56) | 3 (1.33) | 4 (1.78) | |
North America | 13 (5.78) | 6 (2.67) | 3 (1.33) | 1 (0.44) | 2 (0.89) | 3 (1.33) | 2 (0.89) | 11 (4.89) | 3 (1.33) | 5 (2.22) | |
South America | 0 (0.00) | 1 (0.44) | 0 (0.00) | 1 (0.44) | 0 (0.00) | 4 (1.78) | 3 (1.33) | 6 (2.67) | 0 (0.00) | 1 (0.44) | |
Africa | 0 (0.00) | 0 (0.00) | 0 (0.00) | 0 (0.00) | 0 (0.00) | 0 (0.00) | 0 (0.00) | 0 (0.00) | 1 (0.44) | 0 (0.00) | |
Oceania | 2 (0.89) | 1 (0.44) | 1 (0.44) | 1 (0.44) | 1 (0.44) | 1 (0.44) | 1 (0.44) | 0 (0.00) | 2 (0.89) | 0 (0.00) | |
Not influenced, sales | Europe | 63 (28.00) | 76 (33.78) | 74 (32.89) | 74 (32.89) | 77 (34.22) | 67 (29.78) | 79 (35.11) | 87 (38.67) | 78 (34.67) | 94 (41.78) |
Asia | 65 (28.89) | 36 (16.00) | 71 (31.56) | 58 (25.78) | 39 (17.33) | 32 (14.22) | 68 (30.22) | 91 (40.44) | 106 (47.11) | 114 (50.67) | |
North America | 80 (35.56) | 93 (41.33) | 96 (42.67) | 101 (44.89) | 101 (44.89) | 103 (45.78) | 102 (45.33) | 96 (42.67) | 103 (45.78) | 106 (47.11) | |
South America | 16 (7.11) | 16 (7.1) | 17 (7.56) | 24 (10.67) | 27 (12.00) | 27 (12.00) | 30 (13.33) | 29 (12.89) | 37 (16.44) | 36 (16.00) | |
Africa | 2 (0.89) | 1 (0.44) | 1 (0.44) | 1 (0.44) | 1 (0.44) | 1 (0.44) | 1 (0.44) | 1 (0.44) | 0 (0.00) | 2 (0.89) | |
Oceania | 14 (6.22) | 15 (6.67) | 15 (6.67) | 17 (7.56) | 17 (7.56) | 14 (6.22) | 14 (6.22) | 18 (8.00) | 19 (8.44) | 28 (12.44) |
2007 | 2008 | 2009 | 2010 | 2011 | 2012 | 2013 | 2014 | 2015 | Average | ||
---|---|---|---|---|---|---|---|---|---|---|---|
Influenced, no sales | Europe | 8 (3.56) | 59 (26.22) | 1 (0.44) | 12 (5.33) | 4 (1.78) | 7 (3.11) | 1 (0.44) | 20 (8.89) | 17 (7.56) | 11.56 |
Asia | 6 (2.67) | 24 (10.67) | 2 (0.89) | 20 (8.89) | 37 (16.44) | 22 (9.78) | 37 (16.44) | 13 (5.78) | 17 (7.56) | 20.17 | |
North America | 4 (1.78) | 2 (0.89) | 3 (1.33) | 1 (0.44) | 1 (0.44) | 0 (0.00) | 3 (1.33) | 14 (6.22) | 1 (0.44) | 4 | |
South America | 10 (4.44) | 25 (11.11) | 7 (3.11) | 8 (3.56) | 46 (20.44) | 45 (20.00) | 18 (8.00) | 4 (1.78) | 1 (0.44) | 14.78 | |
Africa | 13 (5.78) | 10 (4.44) | 64 (28.44) | 15 (6.67) | 15 (6.67) | 6 (2.67) | 4 (1.78) | 15 (6.67) | 4 (1.78) | 14.33 | |
Oceania | 7 (3.11) | 114 (50.67) | 62 (27.56) | 24 (10.67) | 22 (9.78) | 21 (9.33) | 3 (1.33) | 9 (4.00) | 36 (16.00) | 23.22 | |
Influenced, sales | Europe | 1 (0.44) | 47 (20.89) | 0 (0.00) | 12 (5.33) | 1 (0.44) | 1 (0.44) | 2 (0.89) | 29 (12.89) | 8 (3.56) | 8.89 |
Asia | 4 (1.78) | 53 (23.56) | 0 (0.00) | 48 (21.33) | 101 (44.89) | 38 (16.89) | 35 (15.56) | 11 (4.89) | 29 (12.89) | 27 | |
North America | 5 (2.22) | 3 (1.33) | 3 (1.33) | 2 (0.89) | 1 (0.44) | 0 (0.00) | 3 (1.33) | 4 (1.78) | 1 (0.44) | 3.67 | |
South America | 1 (0.44) | 9 (4.00) | 0 (0.00) | 2 (0.89) | 8 (3.56) | 5 (2.22) | 8 (3.56) | 0 (0.00) | 0 (0.00) | 2.67 | |
Africa | 0 (0.00) | 0 (0.00) | 1 (0.44) | 1 (0.44) | 0 (0.00) | 0 (0.00) | 1 (0.44) | 0 (0.00) | 0 (0.00) | 0.22 | |
Oceania | 0 (0.00) | 19 (8.44) | 21 (9.33) | 3 (1.33) | 0 (0.00) | 5 (2.22) | 0 (0.00) | 0 (0.00) | 6 (2.67) | 3.56 | |
Not influenced, sales | Europe | 94 (41.78) | 48 (21.33) | 96 (42.67) | 86 (38.22) | 92 (40.89) | 90 (40.00) | 90 (40.00) | 62 (27.56) | 82 (36.44) | 78.61 |
Asia | 114 (50.67) | 65 (28.89) | 121 (53.78) | 76 (33.78) | 29 (12.89) | 91 (40.44) | 84 (37.33) | 106 (47.11) | 92 (40.89) | 74.67 | |
North America | 106 (47.11) | 108 (48.00) | 109 (48.44) | 112 (49.78) | 103 (45.78) | 106 (47.11) | 64 (28.44) | 55 (24.44) | 59 (26.22) | 94.28 | |
South America | 36 (16.00) | 28 (12.44) | 37 (16.44) | 36 (16.00) | 27 (12.00) | 30 (13.33) | 27 (12.00) | 38 (16.89) | 38 (16.89) | 28.89 | |
Africa | 2 (0.89) | 2 (0.89) | 2 (0.89) | 2 (0.89) | 5 (2.22) | 6 (2.67) | 4 (1.78) | 5 (2.22) | 4 (1.78) | 2.28 | |
Oceania | 28 (12.44) | 9 (4.00) | 7 (3.11) | 27 (12.00) | 29 (12.89) | 24 (10.67) | 23 (10.22) | 27 (12.00) | 21 (9.33) | 18.78 |
1998 | 1999 | 2000 | 2001 | 2002 | 2003 | 2004 | 2005 | 2006 | Average | ||
---|---|---|---|---|---|---|---|---|---|---|---|
Influenced, no subsidiaries | Europe | 7 (3.11) | 2 (0.89) | 5 (2.22) | 1 (0.44) | 0 (0.00) | 9 (4.00) | 1 (0.44) | 0 (0.00) | 3 (1.33) | 5.4 |
Asia | 5 (2.22) | 4 (1.78) | 10 (4.44) | 4 (1.78) | 16 (7.11) | 14 (6.22) | 8 (3.56) | 4 (1.78) | 3 (1.33) | 7.6 | |
North America | 8 (3.56) | 5 (2.22) | 1 (0.44) | 2 (0.89) | 2 (0.89) | 2 (0.89) | 5 (2.22) | 8 (3.56) | 1 (0.44) | 2.7 | |
South America | 8 (3.56) | 11 (4.89) | 10 (4.44) | 11 (4.89) | 4 (1.78) | 12 (5.33) | 10 (4.44) | 17 (7.56) | 1 (0.44) | 11.6 | |
Africa | 6 (2.67) | 18 (8.00) | 4 (1.78) | 4 (1.78) | 24 (10.67) | 10 (4.44) | 6 (2.67) | 9 (4.00) | 24 (10.67) | 13.1 | |
Oceania | 29 (12.89) | 4 (1.78) | 21 (9.33) | 11 (4.89) | 2 (0.89) | 6 (2.67) | 6 (2.67) | 7 (3.11) | 3 (1.33) | 16.1 | |
Influenced, subsidiaries | Europe | 20 (8.89) | 6 (2.67) | 16 (7.11) | 7 (3.11) | 6 (2.67) | 25 (11.11) | 12 (5.33) | 6 (2.67) | 12 (5.33) | 14.9 |
Asia | 16 (7.11) | 9 (4.00) | 19 (8.44) | 30 (13.33) | 67 (29.78) | 85 (37.78) | 43 (19.11) | 11 (4.89) | 4 (1.78) | 38.3 | |
North America | 23 (10.22) | 6 (2.67) | 3 (1.33) | 2 (0.89) | 3 (1.33) | 2 (0.89) | 2 (0.89) | 8 (3.56) | 4 (1.78) | 5.2 | |
South America | 2 (0.89) | 2 (0.89) | 3 (1.33) | 5 (2.22) | 1 (0.44) | 8 (3.56) | 4 (1.78) | 8 (3.56) | 0 (0.00) | 6.3 | |
Africa | 1 (0.44) | 0 (0.00) | 1 (0.44) | 0 (0.00) | 2 (0.89) | 0 (0.00) | 1 (0.44) | 2 (0.89) | 1 (0.44) | 1.4 | |
Oceania | 13 (5.78) | 3 (1.33) | 8 (3.56) | 5 (2.22) | 2 (0.89) | 2 (0.89) | 3 (1.33) | 1 (0.44) | 4 (1.78) | 10.7 | |
Not influenced, subsidiaries | Europe | 112 (49.78) | 126 (56.00) | 127 (56.44) | 138 (61.33) | 140 (62.22) | 119 (52.89) | 135 (60.00) | 140 (62.22) | 167 (74.22) | 139.1 |
Asia | 139 (61.78) | 91 (40.44) | 141 (62.67) | 131 (58.22) | 99 (44.00) | 82 (36.44) | 125 (55.56) | 161 (71.56) | 150 (66.67) | 132 | |
North America | 114 (50.67) | 131 (58.22) | 140 (62.22) | 142 (63.11) | 142 (63.11) | 149 (66.22) | 149 (66.22) | 146 (64.89) | 154 (68.44) | 153.1 | |
South America | 34 (15.11) | 34 (15.11) | 26 (11.56) | 38 (16.89) | 44 (19.56) | 42 (18.67) | 44 (19.56) | 51 (22.67) | 63 (28.00) | 54.9 | |
Africa | 1 (0.44) | 2 (0.89) | 3 (1.33) | 8 (3.56) | 10 (4.44) | 11 (4.89) | 19 (8.44) | 19 (8.44) | 21 (9.33) | 19 | |
Oceania | 37 (16.44) | 47 (20.89) | 56 (24.89) | 65 (28.89) | 65 (28.89) | 68 (30.22) | 57 (25.33) | 55 (24.44) | 74 (32.89) | 64.9 |
2007 | 2008 | 2009 | 2011 | 2012 | 2013 | 2014 | 2015 | Average | ||
---|---|---|---|---|---|---|---|---|---|---|
Influenced, no subsidiaries | Europe | 4 (1.78) | 29 (12.89) | 0 (0.00) | 3 (1.33) | 4 (1.78) | 0 (0.00) | 11 (4.89) | 12 (5.33) | 5.4 |
Asia | 2 (0.89) | 13 (5.78) | 0 (0.00) | 15 (6.67) | 10 (4.44) | 12 (5.33) | 4 (1.78) | 6 (2.67) | 7.6 | |
North America | 0 (0.00) | 1 (0.44) | 3 (1.33) | 2 (0.89) | 0 (0.00) | 3 (1.33) | 3 (1.33) | 0 (0.00) | 2.7 | |
South America | 4 (1.78) | 21 (9.33) | 5 (2.22) | 30 (13.33) | 33 (14.67) | 17 (7.56) | 2 (0.89) | 1 (0.44) | 11.6 | |
Africa | 12 (5.33) | 10 (4.44) | 59 (26.22) | 11 (4.89) | 5 (2.22) | 4 (1.78) | 14 (6.22) | 3 (1.33) | 13.1 | |
Oceania | 4 (1.78) | 79 (35.11) | 43 (19.11) | 16 (7.11) | 18 (8.00) | 2 (0.89) | 4 (1.78) | 18 (8.00) | 16.1 | |
Influenced, subsidiaries | Europe | 5 (2.22) | 77 (34.22) | 1 (0.44) | 2 (0.89) | 4 (1.78) | 3 (1.33) | 38 (16.89) | 13 (5.78) | 14.9 |
Asia | 8 (3.56) | 64 (28.44) | 2 (0.89) | 123 (54.67) | 50 (22.22) | 60 (26.67) | 20 (8.89) | 40 (17.78) | 38.3 | |
North America | 9 (4.00) | 4 (1.78) | 3 (1.33) | 0 (0.00) | 0 (0.00) | 3 (1.33) | 15 (6.67) | 2 (0.89) | 5.2 | |
South America | 7 (3.11) | 13 (5.78) | 2 (0.89) | 24 (10.67) | 17 (7.56) | 9 (4.00) | 2 (0.89) | 0 (0.00) | 6.3 | |
Africa | 1 (0.44) | 0 (0.00) | 6 (2.67) | 4 (1.78) | 1 (0.44) | 1 (0.44) | 1 (0.44) | 1 (0.44) | 1.4 | |
Oceania | 3 (1.33) | 54 (24.00) | 40 (17.78) | 6 (2.67) | 8 (3.56) | 1 (0.44) | 5 (2.22) | 24 (10.67) | 10.7 | |
Not influenced, subsidiaries | Europe | 147 (65.33) | 81 (36.00) | 154 (68.44) | 160 (71.11) | 162 (72.00) | 166 (73.78) | 132 (58.67) | 159 (70.67) | 139.1 |
Asia | 172 (76.44) | 119 (52.89) | 177 (78.67) | 71 (31.56) | 130 (57.78) | 136 (60.44) | 171 (76.00) | 149 (66.22) | 132 | |
North America | 150 (66.67) | 161 (71.56) | 161 (71.56) | 178 (79.11) | 168 (74.67) | 177 (78.67) | 165 (73.33) | 176 (78.22) | 153.1 | |
South America | 59 (26.22) | 56 (24.89) | 66 (29.33) | 53 (23.56) | 66 (29.33) | 70 (31.11) | 90 (40.00) | 98 (43.56) | 54.9 | |
Africa | 23 (10.22) | 23 (10.22) | 20 (8.89) | 28 (12.44) | 33 (14.67) | 30 (13.33) | 33 (14.67) | 39 (17.33) | 19 | |
Oceania | 93 (41.33) | 36 (16.00) | 52 (23.11) | 58 (25.78) | 84 (37.33) | 81 (36.00) | 96 (42.67) | 79 (35.11) | 64.9 |
Equation 3 Portfolio of firms influenced with no sales in | Equation 4 Portfolio of firms influenced with sales in | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Domestic firms SR = 29.68% | Asia | Europe | North America | South America | Africa | Oceania | Asia | Europe | North America | South America |
Correlation with bmark | 0.58 | 0.53 | 0.44 | 0.48 | 0.59 | 0.58 | 0.57 | 0.42 | 0.46 | 0.34 |
Joint Wald Test α = 0; β = 1 | 14.84 (0.00) | 18.53 (0.00) | 9.59 (0.00) | 18.29 (0.00) | 21.4 (0.00) | 36.25 (0.00) | 12.64 (0.00) | 26.2 (0.00) | 9.78 (0.00) | 47.01 (0.00) |
Step down Wald α = 0 | 0.29 (0.58) | 0.26 (0.60) | 0.34 (0.55) | 0.36 (0.55) | 0.04 (0.84) | 0.13 (0.71) | 0.06 (0.80) | 0.20 (0.65) | 0.93 (0.33) | 0.00 (0.96) |
Step Down Wald β = 1 | 14.84 (0.00) | 18.53 (0.00) | 9.59 (0.00) | 18.29 (0.00) | 21.40 (0.00) | 36.25 (0.00) | 12.64 (0.00) | 26.20 (0.00) | 9.78 (0.00) | 47.01 (0.00) |
Sharpe ratio (SR) | 28.05% | 4.74% | 26.06% | 26.91% | 13.22% | 9.37% | 21.62% | 2.03% | − 7.04% | 10.46% |
Optimal weight—No SS | 39.73% | 0.00% | 30.27% | 37.24% | 0.00% | 0.00% | 17.09% | 0.00% | 0.00% | 0.84% |
Change in SR | 2.84% | 0.00% | 3.31% | 3.38% | 0.00% | 0.00% | 0.56% | 0.00% | 0.00% | 0.00% |
Optimal weight—with SS | 39.73% | − 46.98% | 30.27% | 37.24% | − 19.87% | − 39.74% | 17.09% | − 37.25% | − 62.10% | 0.84% |
Change in SR | 2.84% | 2.69% | 3.31% | 3.38% | 0.49% | 1.47% | 0.56% | 2.14% | 8.16% | 0.00% |
Equation 4 Portfolio of firms influenced with sales in | Equation 5 Portfolio of firms not influenced with sales in | |||||||
---|---|---|---|---|---|---|---|---|
Domestic firms SR = 29.68% | Africa | Oceania | Asia | Europe | North America | South America | Africa | Oceania |
Correlation with bmark | 0.22 | 0.37 | 0.69 | 0.68 | 0.68 | 0.65 | 0.33 | 0.61 |
Joint Wald Test α = 0; β = 1 | 332.39 (0.00) | 48.85 (0.00) | 38.54 (0.00) | 29.07 (0.00) | 30.82 (0.00) | 21.69 (0.00) | 21.02 (0.00) | 5.95 (0.00) |
Step down Wald α = 0 | 0.03 (0.87) | 0.28 (0.59) | 0.00 (0.95) | 0.00 (0.94) | 0.00 (0.99) | 0.05 (0.83) | 0.66 (0.41) | 0.18 (0.66) |
Step Down Wald β = 1 | 332.39 (0.00) | 48.85 (0.00) | 38.54 (0.00) | 29.07 (0.00) | 30.82 (0.00) | 21.69 (0.00) | 21.02 (0.00) | 5.95 (0.00) |
Sharpe ratio (SR) | 1.51% | − 1.51% | 20.99% | 18.72% | 19.69% | 14.96% | 28.66% | 9.58% |
Optimal weight—No SS | 0.00% | 0.00% | 2.80% | 0.00% | 0.00% | 0.00% | 36.49% | 0.00% |
Change in SR | 0.00% | 0.00% | 0.01% | 0.00% | 0.00% | 0.00% | 6.16% | 0.00% |
Optimal weight—with SS | − 27.98% | − 45.69% | 2.80% | − 9.68% | − 2.20% | − 22.36% | 36.49% | − 35.19% |
Change in SR | 0.43% | 2.84% | 0.01% | 0.08% | 0.00% | 0.54% | 6.16% | 1.89% |
Equation 3 Portfolio of firms influenced with no subsidiaries in | Equation 4 Portfolio of firms influenced with subsidiaries in | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Domestic firms SR = 20.96% | Asia | Europe | North America | South America | Africa | Oceania | Asia | Europe | North America | South America |
Correlation with bmark | 0.43 | 0.46 | 0.4 | 0.58 | 0.59 | 0.56 | 0.44 | 0.55 | 0.35 | 0.39 |
Joint Wald test α = 0; β = 1 | 14.14 (0.00) | 30.25 (0.00) | 2.7 (0.06) | 6.8 (0.00) | 7.76 (0.00) | 17.69 (0.00) | 15.84 (0.00) | 14.27 (0.00) | 18.99 (0.00) | 8.97 (0.00) |
Step down Wald α = 0 | 1.13 (0.28) | 0.22 (0.63) | 0.24 (0.62) | 2.02 (0.15) | 0.01 (0.91) | 0.08 (0.77) | 0.33 (0.56) | 0.17 (0.68) | 0.10 (0.75) | 0.42 (0.51) |
Step down Wald β = 1 | 14.14 (0.00) | 30.25 (0.00) | 2.70 (0.06) | 6.80 (0.00) | 7.76 (0.00) | 17.69 (0.00) | 15.84 (0.00) | 14.27 (0.00) | 18.99 (0.00) | 8.97 (0.00) |
Sharpe Ratio (SR) | 32.86% | 19.49% | 19.43% | 41.39% | 10.34% | 17.28% | 21.62% | 3.01% | 14.18% | − 6.26% |
Optimal Weight—No SS | 68.19% | 37.66% | 30.17% | 100.00% | 0.00% | 26.52% | 41.89% | 0.00% | 20.93% | 0.00% |
Change in SR | 12.79% | 2.79% | 3.24% | 20.43% | 0.00% | 1.05% | 4.17% | 0.00% | 1.22% | 0.00% |
Optimal weight—with SS | 68.19% | 37.66% | 30.17% | 100.00% | − 11.25% | 26.52% | 41.89% | − 45.90% | 20.93% | − 58.98% |
Change in SR | 12.79% | 2.79% | 3.24% | 20.43% | 0.16% | 1.05% | 4.17% | 2.31% | 1.22% | 5.22% |
Equation 4 Portfolio of firms influenced with subsidiaries in | Equation 5 Portfolio of firms not influenced with subsidiaries in | |||||||
---|---|---|---|---|---|---|---|---|
Domestic firms SR = 20.96% | Africa | Oceania | Asia | Europe | North America | South America | Africa | Oceania |
Correlation with bmark | 0.41 | 0.54 | 0.68 | 0.65 | 0.64 | 0.61 | 0.61 | 0.62 |
Joint Wald test α = 0; β = 1 | 19.22 (0.00) | 17.6 (0.00) | 28.57 (0.00) | 24.72 (0.00) | 23.45 (0.00) | 27.9 (0.00) | 20.9 (0.00) | 24.36 (0.00) |
Step down Wald α = 0 | 5.53 (0.01) | 0.01 (0.91) | 0.04 (0.83) | 0.01 (0.92) | 0.00 (0.94) | 0.01 (0.91) | 0.05 (0.82) | 0.15 (0.69) |
Step down Wald β = 1 | 19.22 (0.00) | 17.60 (0.00) | 28.57 (0.00) | 24.72 (0.00) | 23.45 (0.00) | 27.90 (0.00) | 20.90 (0.00) | 24.36 (0.00) |
Sharpe Ratio (SR) | 63.63% | 8.86% | 17.61% | 15.15% | 14.34% | 10.20% | 16.70% | 5.22% |
Optimal Weight—No SS | 100.00% | 0.00% | 26.03% | 10.39% | 6.16% | 0.00% | 23.40% | 0.00% |
Change in SR | 42.67% | 0.00% | 0.51% | 0.08% | 0.03% | 0.00% | 0.59% | 0.00% |
Optimal weight—with SS | 100.00% | − 13.18% | 26.03% | 10.39% | 6.16% | − 16.78% | 23.40% | − 59.55% |
Change in SR | 42.67% | 0.22% | 0.51% | 0.08% | 0.03% | 0.23% | 0.59% | 2.22% |