Country

Raw return

(%)

One-factor

alpha (%)

Four-factor

alpha (%)

Size

($ million)

Family size

($ million)

Age

TSC

(%)

SMB

HML

Countries

sold

Argentina

4.04

−1.44

−0.95

10.35

45.29

11.58

2.94

0.29

0.09

1.00

Australia

1.78

−0.39

−0.16

182.51

5,083.50

9.81

1.65

−0.09

−0.04

1.14

Brazil

0.13

−3.03

−4.01

76.30

4,312.31

7.72

1.79

0.20

−0.17

1.00

Canada

1.57

−0.68

−0.64

256.11

12,744.06

11.75

3.20

0.04

−0.01

1.00

France

1.60

−0.70

−0.69

160.94

7,240.96

11.85

2.32

0.05

−0.06

1.64

Germany

1.78

−0.71

−0.68

317.03

13,046.04

13.72

2.40

0.04

−0.12

1.88

Hong Kong

2.01

0.33

0.08

245.93

3,794.30

12.31

2.31

0.03

−0.14

2.35

Ireland

1.66

−0.44

−0.40

350.32

5,782.31

8.52

2.44

0.10

−0.07

7.87

Japan

2.03

−0.63

−0.57

122.68

16,802.76

9.16

1.86

0.15

0.01

1.00

Norway

2.65

−0.19

0.13

200.38

3,215.97

11.43

1.66

0.16

0.01

1.62

Switzerland

1.74

−0.36

−0.05

298.74

15,561.96

11.79

1.71

0.08

−0.10

1.29

UK

2.25

−0.07

0.01

480.71

10,734.98

15.13

2.11

0.22

−0.08

2.04

US

1.80

−0.28

−0.04

1,531.33

63,059.61

13.68

1.59

0.18

−0.01

1.06

All countries

1.76

−0.53

−0.44

688.13

28,365.02

12.09

1.99

0.12

−0.04

1.58