Strategies can be expensive too! The value spread and asset allocation in global equity markets
Adam Zaremba , Mehmet Umutlu
AbstractIs 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.
|Journal series||Applied Economics, ISSN 0003-6846, (A 20 pkt)|
|Publication size in sheets||0.85|
|Keywords in English||Value spread, country-level anomalies, country-selection strategies, asset allocation, asset pricing, international investment, return predictability, equity anomalies, the cross-section of returns|
|Score||= 20.0, 03-04-2020, ArticleFromJournal|
|Publication indicators||= 1; : 2018 = 0.781; : 2017 = 0.75 (2) - 2017=0.906 (5)|
|Citation count*||10 (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.