Strategies can be expensive too! The value spread and asset allocation in global equity markets

Zaremba Adam; Umutlu Mehmet

首页> 外文期刊>Applied Economics >Strategies can be expensive too! The value spread and asset allocation in global equity markets

【24h】

Strategies can be expensive too! The value spread and asset allocation in global equity markets

机译：策略也可能很昂贵！全球股票市场的价差和资产配置

获取原文

获取原文并翻译 | 示例

掌桥外文数据库（机构版） >>

开具论文收录证明 >>

文献代查 >>

页面导航

摘要
著录项
相似文献
相关主题

摘要

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.

机译：价差对预测国家选择的定量股权策略的回报有用吗？为了验证这一点，我们研究了1996年至2017年在72个股票市场中复制的120个国家/地区股权策略的样本。价差是横截面策略收益的有力和有力的预测器，可以根据动量，逆转或季节性采用其他方法。做多（做空）价值分布最广（最窄）的策略会产生重要的四因子模型alpha，明显胜过所有策略的均等加权基准。该结果对于许多考虑都是可靠的。

著录项

来源
《Applied Economics》 |2018年第60期|6529-6546|共18页
作者
Zaremba Adam; Umutlu Mehmet;
展开▼
作者单位

Poznan Univ Econ & Business, Dept Investment & Capital Markets, Poznan, Poland;

Yasar Univ, Dept Int Trade & Finance, Izmir, Turkey;

展开▼
收录信息美国《科学引文索引》(SCI);
原文格式 PDF
正文语种 eng
中图分类
关键词
Value spread; country-level anomalies; country-selection strategies; asset allocation; asset pricing; international investment; return predictability; equity anomalies; the cross-section of returns;

机译：价值传播;国家层面的异常;国家选择策略;资产分配;资产定价;国际投资;收益可预测性;权益异常;收益的横截面;

相似文献

外文文献
中文文献
专利

1. Optimal asset allocation strategies for international equity portfolios: A comparison of country versus industry optimization [J] . Bessler Wolfgang, Taushanov Georgi, Wolff Dominik Journal of International Financial Markets, Institutions & Money . 2021,第May期

机译：国际股权投资组合的最优资产分配战略：国家与行业优化的比较
2. Asset allocation strategy to create superior portfolio from equity mutual funds [J] . Sylviana Maya Damayanti, Isrochmani Murtaqi, Rudy Bekti, International journal of monetary economics and finance . 2018,第3期

机译：资产配置策略，以利用股票共同基金创造卓越的投资组合
3. An examination of linear factor models in country equity asset allocation strategies [J] . Jonathan Fletcher, Joe Hillier The quarterly review of economics and finance . 2005,第4a5期

机译：国家股权资产配置策略中的线性因子模型研究
4. Neural network system for tactical asset allocation in the global bonds markets [C] . Diamond, C., Shadbolt, . 1993

机译：用于全球债券市场战术资产分配的神经网络系统
5. Contagion and the Spread of the Recent Global Crisis to Asia: The Effect of the Transmission on Equity Markets [D] . Zhang, Nan 2011

机译：近期全球危机的蔓延和蔓延到亚洲：传播对股票市场的影响
6. Charting the evolution of approaches employed by the Global Alliance for Vaccines and Immunizations (GAVI) to address inequities in access to immunization: a systematic qualitative review of GAVI policies strategies and resource allocation mechanisms through an equity lens (1999–2014) [O] . Gian Gandhi 2015

机译：绘制图表说明全球疫苗和免疫联盟（GAVI）为解决免疫接种中的不平等现象所采用的方法的演变：通过公平视角对GAVI政策策略和资源分配机制进行系统的定性审查（1999-2014年）
7. Why Doesn't Africa Get More Equity Investment? Frontier Stock Markets, Firm Size and Asset Allocations of Global Emerging Market Funds [O] . Todd Moss, Vijaya Ramachandran, Scott Standley 100

机译：为什么非洲不会获得更多的股权投资？全球新兴市场基金的前沿股票市场，公司规模和资产配置

Strategies can be expensive too! The value spread and asset allocation in global equity markets

摘要

著录项

相似文献

相关主题

期刊订阅