Please use this identifier to cite or link to this item: http://hdl.handle.net/20.500.12216/234
DC FieldValueLanguage
dc.contributor.authorAdam Zarembaen_US
dc.contributor.authorAndreu, L.en_US
dc.date.accessioned2018-02-28T10:09:01Z-
dc.date.available2018-02-28T10:09:01Z-
dc.date.issued2018-01-
dc.identifier.urihttp://hdl.handle.net/20.500.12216/234-
dc.description.abstractAre the quantitative equity strategies for country selection robust to implementation costs? To answer this question, we conduct a comprehensive examination of the country-level strategies so far. We review, classify, and replicate 120 equity anomalies within a sample of 42 country equity indices for the years 1996–2017. Next, using ETF price and spread data, we test the effect of real-life conditions and trading costs on the anomaly performance. We also examine three cost-mitigation strategies: infrequent rebalancing, capitalization-based weighting, and focus on low-cost securities. We find that 46% of the long-only monthly rebalanced anomaly portfolios display significant alphas, concentrated strongly among strategies based on value, momentum, and liquidity. The effect of transaction costs proves largely lethal to returns, leaving only a handful of anomalies profitable. Less frequent rebalancing (annually) helps to regain the effectiveness of the strategies, increasing the monthly alphas on the long-only anomaly portfolios to 0.44% on average. © 2018 Elsevier Inc.en_US
dc.language.isoenen_US
dc.publisherElsevier Inc.en_US
dc.relation.ispartofInternational Review of Financial Analysisen_US
dc.relation.volume56en_US
dc.relation.firstpage181en_US
dc.relation.lastpage192en_US
dc.titlePaper profits or real money? Trading costs and stock market anomalies in country ETFsen_US
dc.typeArticleen_US
dc.identifier.doi10.1016/j.irfa.2018.01.007-
dc.identifier.doihttps://www.scopus.com/inward/record.uri?eid=2-s2.0-85041629546&doi=10.1016%2fj.irfa.2018.01.007&partnerID=40&md5=dee8681f38e008d42fa827214d05215f-
dc.identifier.urlhttps://www.scopus.com/inward/record.uri?eid=2-s2.0-85041629546&doi=10.1016%2fj.irfa.2018.01.007&partnerID=40&md5=dee8681f38e008d42fa827214d05215f-
item.grantfulltextnone-
item.fulltextNo Fulltext-
crisitem.author.deptDubai Business School-
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