Please use this identifier to cite or link to this item:
|Title:||Strategies can be expensive too! The value spread and asset allocation in global equity markets||Authors:||Zaremba, A.
|Issue Date:||Dec-2018||Publisher:||Routledge||Journal:||Applied Economics||Abstract:||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. © 2018, © 2018 Informa UK Limited, trading as Taylor & Francis Group.||URI:||http://hdl.handle.net/20.500.12216/272||DOI:||10.1080/00036846.2018.1489523|
|Appears in Collections:||Articles|
Show full item record
checked on Sep 5, 2020
Items in Corepaedia are protected by copyright, with all rights reserved, unless otherwise indicated.