Risk-based explanation for the country-level size and value effects

Adam Zaremba

Abstract

The 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.
Author Adam Zaremba (WZ / KIiRK)
Adam Zaremba,,
- Department of Investment and Capital Markets
Journal seriesFinance Research Letters, ISSN 1544-6123, e-ISSN 1544-6131, (A 15 pkt)
Issue year2016
Vol18
Pages226-233
Publication size in sheets0.5
Keywords in EnglishValue premium, Size premium, Small-market effect, Country selection strategies, Country-level anomalies, International asset pricing, Pricing of risk, Country risk
ASJC Classification2003 Finance
DOIDOI:10.1016/j.frl.2016.04.020
Languageen angielski
Score (nominal)15
Score sourcejournalList
ScoreMinisterial score = 15.0, 10-12-2019, ArticleFromJournal
Ministerial score (2013-2016) = 15.0, 10-12-2019, ArticleFromJournal
Publication indicators WoS Citations = 5; Scopus SNIP (Source Normalised Impact per Paper): 2016 = 0.724; WoS Impact Factor: 2016 = 0.762 (2) - 2016=0.842 (5)
Citation count*18 (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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