Gravity in International Equity Markets

Bae, Joon Woo

doi:10.2139/ssrn.3312433

Cited by 2 publications

(1 citation statement)

References 66 publications

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“…Gravity. Bae (2017) documents an interesting linkage between performance of different countries, namely, large countries lead returns of small countries, and this predictability decreases with geographical distance of the two countries. The effect could be translated into a long-short strategy producing about 10% risk-adjusted return per annum, which is not explained by the well-established return predictors.…”

Section: Other Predictorsmentioning

confidence: 99%

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

Zaremba

2019

JRFM

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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.

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Section: Other Predictorsmentioning

confidence: 99%