Country Value Premiums and Financial Crises
Adam Zaremba
International Journal of Finance & Banking Studies · 2014 · Vol. 3 / Issue 1 · 12-50
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Abstract
The paper concentrates on the value premium across countries and contributes to the investment and asset pricing literature in three ways. First, I provide fresh evidence that the high-value countries perform significantly better than the low-value countries. Additionally, this phenomenon is indifferent to the choice of the computational currency, representative index or value indicator. Second, I demonstrate that the value effect can be successfully amplified by combining with country-level size and momentum effects. Third, I show that returns to the high-value countries deteriorate in financial crisis conditions, because the country-level value premium is negatively correlated with the credit spreads, TED spread and expected volatility. I examine data from 66 markets between years 2000 and 2013.
Keywords: {'name': 'inter-country variation in stock returns'}, {'name': 'value premium'}, {'name': 'financial crisis'}
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Adam Zaremba
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