Strategies can be expensive too! The value spread and asset allocation in global equity markets

Adam Zaremba , Mehmet Umutlu

Abstract

Is the value spread useful for forecasting returns on quantitative equity strategies for country selection? To test this, we examine a sample of 120 country-level equity strategies replicated within 72 stock markets for the years 1996–2017. The value spread is a powerful and robust predictor of strategy returns in the cross-section, subsuming other methods based on momentum, reversal, or seasonality. Going long (short) the strategies with the broadest (narrowest) value spread produces significant four-factor model alphas, markedly outperforming an equal-weighted benchmark of all of the strategies. The results are robust to many considerations.
Author Adam Zaremba (WZ / KIiRK)
Adam Zaremba,,
- Department of Investment and Capital Markets
, Mehmet Umutlu - Yasar University, Turkey
Mehmet Umutlu,,
-
Journal seriesApplied Economics, ISSN 0003-6846, (A 20 pkt)
Issue year2018
Vol50
No60
Pages6529-6546
Publication size in sheets0.85
Keywords in EnglishValue spread, country-level anomalies, country-selection strategies, asset allocation, asset pricing, international investment, return predictability, equity anomalies, the cross-section of returns
ASJC Classification2002 Economics and Econometrics
DOIDOI:10.1080/00036846.2018.1489523
Languageen angielski
Score (nominal)20
Score sourcejournalList
ScoreMinisterial score = 20.0, 03-04-2020, ArticleFromJournal
Publication indicators WoS Citations = 1; Scopus SNIP (Source Normalised Impact per Paper): 2018 = 0.781; WoS Impact Factor: 2017 = 0.75 (2) - 2017=0.906 (5)
Citation count*10 (2020-09-10)
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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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