The Cross Section of Country Equity Returns: A Review of Empirical Literature

Adam Zaremba

Abstract

The last three decades brought mounting evidence regarding the cross-sectional predictability of country equity returns. The studies not only documented country-level counterparts of well-established stock-level anomalies, such as size, value, or momentum, but also demonstrated some unique return-predicting signals such as fund flows or political regimes. Nonetheless, the different studies vary remarkably in terms of their dataset and methods employed. This study aims to provide a comprehensive review of the current literature on the cross-section of country equity returns. We focus on three particular aspects of the asset pricing literature. First, we study the choice of dataset and sample preparation methods. Second, we survey different aspects of the methodological approaches. Last but not least, we review the country-level equity anomalies discovered so far. The discussed cross-sectional return patterns not only provide new insights into international asset pricing but can also be potentially translated into effective country allocation strategies.
Author Adam Zaremba (WZ / KIiRK)
Adam Zaremba,,
- Department of Investment and Capital Markets
Journal seriesJournal of Risk and Financial Management, ISSN 1911-8074, (N/A 40 pkt)
Issue year2019
Vol12
No4
Pages1-26
Publication size in sheets1.25
Keywords in Polishprzekrój stóp zwrotu, anomalie rynku kapitałowego, wycena aktywów, międzynarodowe rynki finansowe
Keywords in Englishcross section of country equity returns; country-level stock market anomalies; empirical asset pricing; international equity markets; return predictability
DOIDOI:10.3390/jrfm12040165
URL https://www.mdpi.com/1911-8074/12/4/165
Languageen angielski
Score (nominal)40
Score sourcejournalList
ScoreMinisterial score = 40.0, 09-04-2020, ArticleFromJournal
Publication indicators WoS Citations = 0
Citation count*7 (2020-07-09)
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