The European Union (EU) has a big impact on stock returns in Europe. Different factors like regions, countries, industries, and crises affect how stocks perform. The EU regional factor is the most important for all EU and non-EU countries. Crises like the global financial crisis and Brexit make country and industry factors less important. Countries more connected to the EU are more affected by regional factors. Focusing on national industries can reduce risks in a stock portfolio. The regional factor is especially important for UK stocks, raising concerns about Brexit.