[HTML][HTML] The cross section of country equity returns: A review of empirical literature
A Zaremba - Journal of Risk and Financial Management, 2019 - mdpi.com
The last three decades brought mounting evidence regarding the cross-sectional
predictability of country equity returns. The studies not only documented country-level …
predictability of country equity returns. The studies not only documented country-level …
When bad news is good news: Geopolitical risk and the cross-section of emerging market stock returns
Using a news-based gauge of geopolitical risk, we study its role in asset pricing in global
emerging markets. We find that changes in risk positively predict future stock returns. The …
emerging markets. We find that changes in risk positively predict future stock returns. The …
Financial resilience to the COVID-19 pandemic: The role of banking market structure
This article examines whether differences in banking market structures across countries
influence the local stock market resilience to the COVID-19 pandemic. Using a sample of 66 …
influence the local stock market resilience to the COVID-19 pandemic. Using a sample of 66 …
Where have the profits gone? Market efficiency and the disappearing equity anomalies in country and industry returns
We are the first to demonstrate the decline in the cross-sectional predictability of country and
industry returns in recent years. We examine 53 anomalies in country and industry indices …
industry returns in recent years. We examine 53 anomalies in country and industry indices …
[HTML][HTML] The long-run reversal in the long run: Insights from two centuries of international equity returns
We perform the most comprehensive test of long-term reversal in national equity indices
ever done. Having examined data from 71 countries for the years 1830 through 2019, we …
ever done. Having examined data from 71 countries for the years 1830 through 2019, we …
Macroeconomics matter: Leading economic indicators and the cross-section of global stock returns
Leading economic indicators assist in forecasting future business conditions. Can they also
predict aggregate stock returns? To answer this question, we examine six decades of data …
predict aggregate stock returns? To answer this question, we examine six decades of data …
Investor sentiment, limits on arbitrage, and the performance of cross-country stock market anomalies
A Zaremba - Journal of Behavioral and Experimental Finance, 2016 - Elsevier
The behavioral finance view of anomalies suggests that mispricing stems from investor
irrationality that could not easily be arbitraged away. We test the implications of this concept …
irrationality that could not easily be arbitraged away. We test the implications of this concept …
The cross-section of industry equity returns and global tactical asset allocation across regions and industries
M Umutlu, P Bengitöz - International Review of Financial Analysis, 2020 - Elsevier
This study investigates which index characteristics predict returns in the cross-section of
local industry indexes in six regions. The results show that geographical origin and market …
local industry indexes in six regions. The results show that geographical origin and market …
Return range and the cross-section of expected index returns in international stock markets
M Umutlu, P Bengitoz - Quantitative Finance and Economics, 2020 - papers.ssrn.com
This study examines the cross-sectional relation between return range and future returns for
the first time in literature. We show that the return range can serve as a very practical …
the first time in literature. We show that the return range can serve as a very practical …
Magic Formula vs. traditional value investment strategies in the finnish stock market
For the first time in a smaller market setting, we compare the performance of the magic
formula pro-posed by Greenblatt (2006) against the most commonly used value investment …
formula pro-posed by Greenblatt (2006) against the most commonly used value investment …