Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/162108
Authors: 
Zaremba, Adam
Year of Publication: 
2017
Citation: 
[Journal:] Contemporary Economics [ISSN:] 2300-8814 [Volume:] 11 [Year:] 2017 [Issue:] 1 [Pages:] 107-126
Abstract: 
The recent increase in passive investment products has provided investors with easy access to international markets. The basic motivation of this paper is to offer new tools to investors who want to allocate assets across countries. This study investigates the performance of equity country selection strategies based on a combination of theoretically and empirically motivated variables. Thus, we create portfolios and assess their performance using asset pricing models. The empirical examination is based on data from 78 countries from 1999 to 2015. The strategies that are based on the earnings-to-price (EP) ratio, the turnover ratio, and skewness prove to be useful tools for international investors. Furthermore, portfolios from sorts on the blended rankings of skewness combined with the EP ratio or the turnover ratio are also characterized by an attractive risk-return ratio. However, joint strategies do not outperform strategies that are based on single metrics. Consequently, we argue that investors would be better off building a diversified portfolio rather than combining their options into one strategy because of the low correlation among returns on single-variable strategies.
Subjects: 
country selection strategies
asset pricing
cross section of stock returns
value investing
momentum
skewness preference
liquidity premium
turnover ratio
international investments
JEL: 
G11
G12
G15
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article

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