Combining Equity Country Selection Strategies

Adam Zaremba

Abstract

The recent increase in passive investment products has provided investors with easy access to international markets. The basic motivation of this paper is to offer new tools to investors who want to allocate assets across countries. This study investigates the performance of equity country selection strategies based on a combination of theoretically and empirically motivated variables. Thus, we create portfolios and assess their performance using asset pricing models. The empirical examination is based on data from 78 countries from 1999 to 2015. The strategies that are based on the earnings-toprice (EP) ratio, the turnover ratio, and skewness prove to be useful tools for international investors. Furthermore, portfolios from sorts on the blended rankings of skewness combined with the EP ratio or the turnover ratio are also characterized by an attractive risk-return ratio. However, joint strategies do not outperform strategies that are based on single metrics. Consequently, we argue that investors would be better off building a diversified portfolio rather than combining their options into one strategy because of the low correlation among returns on single-variable strategies.
Author Adam Zaremba (WZ / KIiRK)
Adam Zaremba,,
- Department of Investment and Capital Markets
Journal seriesContemporary Economics, ISSN 2084-0845, e-ISSN 2300-8814, [1897-9254], (B 15 pkt)
Issue year2017
No1
Pages107-126
Publication size in sheets0.95
Keywords in Englishcountry selection strategies, asset pricing, cross section of stock returns, value investing, momentum, skewness preference, liquidity premium, turnover ratio, international investments
ASJC Classification2000 General Economics, Econometrics and Finance
DOIDOI:10.5709/ce.1897-9254.231
URL http://www.ce.vizja.pl/en/download-pdf/volume/11/issue/1/id/493
Languageen angielski
Score (nominal)15
Score sourcejournalList
ScoreMinisterial score = 15.0, 27-03-2020, ArticleFromJournal
Publication indicators WoS Citations = 1; Scopus SNIP (Source Normalised Impact per Paper): 2017 = 0.592
Citation count*4 (2019-11-10)
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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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