Style Management in Equity Country Allocation

L’Her, Jean-François; Desrosiers, Stéphanie; Plante, Jean‐François

doi:10.2469/dig.v35.n1.1631

Cited by 6 publications

(1 citation statement)

References 32 publications

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“…According to them, the portfolios composed of small capitalization markets deliver higher returns than big markets in a long run. 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: 79%

Is There a Low-Risk Anomaly Across Countries?

Zaremba

2014

SSRN Journal

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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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Section: Introductionmentioning

confidence: 79%