Abstract:
This paper investigates the presence of global style factors in global equity investment. To
this end, we apply Bayesian variable selection methods from the statistics literature to give
guidance in the decision to include/omit factors in a global (linear factor) stock return model.
Once we have accounted for country and sector, it is possible to see which style or styles best
explains current asset returns. This study does not find compelling evidence for global styles as
useful explanatory factors in a fixed parameter regression model, once country and sector have
been accounted for.
