Strategie doboru państw do portfela inwestycyjnego
Country selection strategies for portfolio management
Author(s): Przemysław Konieczka, Adam ZarembaSubject(s): Economy
Published by: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
Keywords: value effect; size effect; momentum; volatility effect; anomaly of low risk; inter-market effects; cross-section analysis of returns; factor returns; international diversification; asset pricing
Summary/Abstract: This study examines 16 country selection strategies based on inter-market value, size, momentum, quality and volatility effects. We investigate a sample of 78 countries for the period 1999-2014. Having considered country-specific dividend tax rates, market liquidity and openness for investment flows we can state that chosen strategy based on earnings to price ratio proves useful for investors. Momentum strategies should be approached with caution, as they appear effective only in small markets and may lead to loses in large markets. Selecting low leveraged and illiquid countries also proves beneficial. The relation between volatility displays different characteristics for open and closed economies.
Journal: Nauki o Finansach
- Issue Year: 2015
- Issue No: 1 (22)
- Page Range: 101-119
- Page Count: 19