Big Three Factors across Countries
March 6, 2014 - Momentum Investing, Size Effect, Value Premium
Are there parallels at the country stock market level of the size, value and momentum effects observed for individual stocks? In their January 2014 paper entitled “Value, Size and Momentum across Countries”, Adam Zaremba and Przemysław Konieczka investigate country-level value, size and momentum premiums. They measure these factors at the country level as: Value (V): book-to-market ratio of country… Keep Reading