Is there a low-risk anomaly across countries?

Adam Zaremba

Abstract

The aim of this paper is to examine the parallels between the country-level and the stock-level low-risk anomalies. The inter-market variation in returns do not follow the intra-market patterns. Country-level returns are positively related to standard deviation, value at risk, and idiosyncratic volatility, although the effect is largely explained by cross-national value, size and momentum effects. The risk-return relationship seems to be stronger in the cases idiosyncratic risk and is almost non-existent in the case of systematic risk (market beta). Furthermore, additional sorting on value at risk may markedly improve the performance of size and value strategies at the country level. The investigations are based on the cross-section analysis of 78 national stock markets for the period 1999–2014.
Author Adam Zaremba (WZ / KIiRK)
Adam Zaremba,,
- Department of Investment and Capital Markets
Journal seriesEurasian Economic Review, ISSN 1309-422X, e-ISSN 2147-429X, (0 pkt)
Issue year2016
Vol6
No1
Pages45-65
Publication size in sheets1
Keywords in EnglishLow risk anomaly, Beta, Standard deviation, Value at risk, Idiosyncratic volatility, Inter-market effects, Cross-section of returns, Factor returns, International diversification, Country selection strategies, Factor investing
DOIDOI:10.1007/s40822-015-0036-3
URL https://link.springer.com/article/10.1007%2Fs40822-015-0036-3#aboutcontent
Languageen angielski
Score (nominal)5
Score sourcejournalList
ScoreMinisterial score = 0.0, 10-12-2019, ArticleFromJournal
Ministerial score (2013-2016) = 5.0, 10-12-2019, ArticleFromJournal
Publication indicators WoS Citations = 7
Citation count*22 (2020-08-03)
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* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.
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