Country Stock Market Factor Strategies
June 2, 2015 - Momentum Investing, Size Effect, Value Premium, Volatility Effects
Do factors that predict returns in U.S. stock data also work on global stock markets at the country level? In the May 2015 version of their paper entitled “Do Quantitative Country Selection Strategies Really Work?”, Adam Zaremba and Przemysław Konieczka test 16 country stock market selection strategies based on relative market value, size, momentum, quality and volatility…. Keep Reading