Do quantitative country selection strategies really work?

Adam Zaremba , Przemysław Konieczka


Our paper tests and compares sixteen distinct country-selection strategies based on inter-market value, size, momentum, quality and volatility effects within a sample of seventy-eight countries for the period 1999-2015. By taking a practitioner's standpoint and accounting for country-specific dividend tax rates, market liquidity and openness to investment flows, we design portfolios and assess their performance with asset-pricing models. We find that the two best-performing strategies are based on size and leverage, ie, small markets outperform large markets and low-leveraged markets outperform highly leveraged markets. The country level value and momentum strategies work only under selected weighting schemes and are not very robust. The relationship between the future returns and past volatility or quality is also weak and unreliable. Finally, all of the raw and abnormal returns become insignificant when we control for the capital market constraints and investigate the strategies only within open or closed economies.
Author Adam Zaremba (WZ / KIiRK)
Adam Zaremba,,
- Department of Investment and Capital Markets
, Przemysław Konieczka - Szkoła Główna Handlowa w Warszawie (SGH)
Przemysław Konieczka,,
Journal seriesJournal of Investment Strategies, ISSN 2047-1238, e-ISSN 2047-1246, (0 pkt)
Issue year2016
Publication size in sheets1.6
Keywords in Englishstock market anomalies; international investments; asset pricing; cross-section of returns; factor investing; country-level anomalies
Languageen angielski
Score (nominal)5
Score sourcejournalList
ScoreMinisterial score = 0.0, 08-06-2020, ArticleFromJournal
Ministerial score (2013-2016) = 5.0, 08-06-2020, ArticleFromJournal
Publication indicators WoS Citations = 5
Citation count*18 (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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