Risk-based explanation for the country-level size and value effects
AbstractThe present study provides a risk-based explanation for the country-level size and value effects. The research demonstrates that the small-country effect is fully explained by cross-sectional variation in the country risk. Furthermore, accounting for the country risk decreases the alphas on value strategies by approximately 30%, making them statistically insignificant. The results are robust to the affect of taxes on dividends, alternative risk measures, and changes in sorting variables used to implement the strategies examined. The phenomenon is particularly pronounced in emerging markets.
|Journal series||Finance Research Letters, ISSN 1544-6123, e-ISSN 1544-6131, (A 15 pkt)|
|Publication size in sheets||0.5|
|Keywords in English||Value premium, Size premium, Small-market effect, Country selection strategies, Country-level anomalies, International asset pricing, Pricing of risk, Country risk|
|Score|| = 15.0, 10-12-2019, ArticleFromJournal|
= 15.0, 10-12-2019, ArticleFromJournal
|Publication indicators||= 5; : 2016 = 0.724; : 2016 = 0.762 (2) - 2016=0.842 (5)|
|Citation count*||18 (2020-09-10)|
* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.