Strategies can be expensive too! The value spread and asset allocation in global equity markets
Zaremba, Adam; Umutlu, Mehmet
Is the value spread useful for forecasting returns on quantitative equity strategies for country selection? To test this, we examine a sample of 120 country-level equity strategies replicated within 72 stock markets for the years 1996–2017. The value spread is a powerful and robust predictor of strategy returns in the cross-section, subsuming other methods based on momentum, reversal, or seasonality. Going long (short) the strategies with the broadest (narrowest) value spread produces significant four-factor model alphas, markedly outperforming an equal-weighted benchmark of all of the strategies. The results are robust to many considerations.
Zaremba, A., & Umutlu, M. (2018). Strategies can be expensive too! The value spread and asset allocation in global equity markets. Applied Economics, 50(60), 6529-6546. https://doi.org/10.1080/00036846.2018.1489523
|Journal Article Type||Article|
|Online Publication Date||Jul 16, 2018|
|Publication Date||Dec 26, 2018|
|Deposit Date||Jan 29, 2023|
|Peer Reviewed||Peer Reviewed|
|Keywords||Value spread, country-level anomalies, country-selection strategies, asset allocation, asset pricing, international investment, return predictability, equity anomalies, the cross-section of returns|
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