Country selection strategies based on value, size and momentum

Adam Zaremba

Abstract

This study provides convincing evidence that stock markets with low capitalisation, low valuation ratios and high momentum tend to outperform country markets with high capitalisation, high valuation ratios and low momentum. Based on sorting procedures and cross-sectional tests conducted across 78 countries over the period 1999–2014, it has been found out that value, size and momentum effects at the country level are stronger across small and medium country markets than large ones. Thus, bearing in mind the declining benefits of international diversification observed in recent decades, it is recommended that investors include country-level factor premiums in their strategic asset allocation, without postponing them to further stages of an investment process. In addition, it has been shown that inter-market value, size and momentum effects may be used in multifactor asset pricing models, which well explain the variation in stock returns at the country level.
Author Adam Zaremba (WZ / KIiRK)
Adam Zaremba,,
- Department of Investment and Capital Markets
Journal seriesInvestment Analysts Journal, ISSN 1029-3523, (A 20 pkt)
Issue year2015
Vol44
No3
Pages171-198
Publication size in sheets1.35
Keywords in English value, size, momentum, country-level effects, inter-market effects, cross-section of returns, factor returns, international diversification
ASJC Classification1402 Accounting; 2002 Economics and Econometrics; 2003 Finance
DOIDOI:10.1080/10293523.2015.1060747
Languageen angielski
Score (nominal)20
Score sourcejournalList
ScoreMinisterial score = 15.0, 08-01-2020, ArticleFromJournal
Ministerial score (2013-2016) = 20.0, 08-01-2020, ArticleFromJournal
Publication indicators WoS Citations = 18; Scopus SNIP (Source Normalised Impact per Paper): 2015 = 1.091; WoS Impact Factor: 2015 = 0.538 (2) - 2015=0.833 (5)
Citation count*41 (2020-06-25)
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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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