Our basic assets are value-weighted country-industry and country-style port- folio returns. For the country-industry portfolios, we first need a uniformindus- try classification. DataStream provides FTSE industry identifications for each firm,while . industry identification in CRSP is fromStandard Industrial Classification (SIC).We group the 30 SIC industries and the 40 level-4 FTSE in- dustry classifications into a smaller number of industries that approaches the number of countries in our sample, resulting in 26 industries. An additional table (available at the Journal of Finance’s website: .) shows the reconciliation between the SIC and the FTSE systems. To form country- industry portfolios, we group firms within each country into these 26 indus- try groups.
