Country Selection Strategies Based on Quality

Zaremba, Adam

doi:10.2139/ssrn.2536807

“…The additional evidence on the described phenomena is provided by Desrosiers et al (2004), Asness et al (2013), and Angelidis and Tessaromatis (2014). Finally, Zaremba (2015b) proves that certain parallels between country-level and stock-level quality effects are also observable across the data.…”

Section: Introductionmentioning

confidence: 67%

“…Finally, the study revealed that the impact of volatility on returns may vary across size and value classes. Future studies could extend this investigation into different dimensions, such as profitability or credit risk (Zaremba 2015b). Particularly, there are a few anomaly variations that appear to partly explain the low-risk anomaly at the stock-level: liquidity (Bali and Cakici 2008), past maximum returns (Bali et al 2011), short-term reversal (Huang et al 2010), and skewness (Schneider et al 2015).…”

Section: Discussionmentioning

confidence: 96%

Is there a low-risk anomaly across countries?

Zaremba

¹

2015

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The aim of this paper is to examine the parallels between the countrylevel and the stock-level low-risk anomalies. The inter-market variation in returns do not follow the intra-market patterns. Country-level returns are positively related to standard deviation, value at risk, and idiosyncratic volatility, although the effect is largely explained by cross-national value, size and momentum effects. The riskreturn relationship seems to be stronger in the cases idiosyncratic risk and is almost non-existent in the case of systematic risk (market beta). Furthermore, additional sorting on value at risk may markedly improve the performance of size and value strategies at the country level. The investigations are based on the cross-section analysis of 78 national stock markets for the period 1999-2014.

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“…The additional evidence on the described phenomena is provided by Desrosiers et al (2004), Asness et al (2013), and Angelidis and Tessaromatis (2014). Finally, Zaremba (2015b) proves that certain parallels between country-level and stock-level quality effects are also observable across the data.…”

Section: Introductionmentioning

confidence: 67%

“…Finally, the study revealed that the impact of volatility on returns may vary across size and value classes. Future studies could extend this investigation into different dimensions, such as profitability or credit risk (Zaremba 2015b). Particularly, there are a few anomaly variations that appear to partly explain the low-risk anomaly at the stock-level: liquidity (Bali and Cakici 2008), past maximum returns (Bali et al 2011), short-term reversal (Huang et al 2010), and skewness (Schneider et al 2015).…”

Section: Discussionmentioning

confidence: 96%

Is There a Low-Risk Anomaly Across Countries?

Zaremba

¹

2014

Self Cite

View full text Add to dashboard Cite

The aim of this paper is to examine the parallels between the countrylevel and the stock-level low-risk anomalies. The inter-market variation in returns do not follow the intra-market patterns. Country-level returns are positively related to standard deviation, value at risk, and idiosyncratic volatility, although the effect is largely explained by cross-national value, size and momentum effects. The riskreturn relationship seems to be stronger in the cases idiosyncratic risk and is almost non-existent in the case of systematic risk (market beta). Furthermore, additional sorting on value at risk may markedly improve the performance of size and value strategies at the country level. The investigations are based on the cross-section analysis of 78 national stock markets for the period 1999-2014.

show abstract

“…Nie zastosowa-no jednak globalnych czynników wyceny aktywów na poziomie rynków akcji, gdyż podejście to nie byłoby spójne z założeniem, że inwestor lokuje środki w instrumenty finansowe oparte na indeksach. W artykule nie wykorzystano czynników wyceny aktywów oszacowanych na poziomie państw, jak to uczynił Zaremba [2014b;2014c], gdyż jednym z celów niniejszego artykułu jest weryfikacja właśnie tych anomalii, które są fundamentem wspomniany czynników. Dlatego też, niezależnie od międzyrynkowego modelu CAPM, na podstawie danych z rynku akcji z USA, przetestowano, czy ilościowe strategie selekcji kraju przesuwają granicę efektywną dla amerykańskiego inwestora na poziomie rynku akcji, wykorzystując model czteroczynnikowy według Carharta [1997] 7 .…”

Section: Ocena Wyników Inwestycyjnychunclassified