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The aim of this paper is to identify the differences in significance of relevant factors appearing in asset pricing literature for different geographies, from developed to developing economies. It does so by testing these factors on proxies for industries split commonly used in the asset management industry, so as to have results that could be directly implementable in portfolio management practice without loss of relevance. We construct a linear model of industry level returns by considering classical stock-specific factors like market capitalization, leverage, return on equity, book-to-market ratios, country-level and world market factors, macro, and currency factors like a proxy for foreign exchange risk of the developed markets, national inflation rates, TED Spread and world industrial production. Our results suggest that, while stock and industry specific level variables and market proxies have high and homogenous significance levels in the geographies considered, macroeconomic factors have varying effects depending on the geography considered, as developed or developing economies exhibit different and at times opposite correlations to the factors under consideration.
