Country Value Premiums and Financial Crises

International Journal of Finance & Banking Studies, Vol.3 No.1, pp. 12-50, 2014

Posted: 6 Jan 2014 Last revised: 10 May 2016

Adam Zaremba

Poznań University of Economics and Business; University of Dubai

Date Written: January 5, 2014

Abstract

The paper concentrates on the value premium across countries and contributes to the nvestment 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: inter-country variation in stock returns, value premium, financial crisis

JEL Classification: G11, G12, G14, G15

Suggested Citation

Zaremba, Adam, Country Value Premiums and Financial Crises (January 5, 2014). International Journal of Finance & Banking Studies, Vol.3 No.1, pp. 12-50, 2014. Available at SSRN: https://ssrn.com/abstract=2374926 or http://dx.doi.org/10.2139/ssrn.2374926

Adam Zaremba (Contact Author)

Poznań University of Economics and Business ( email )

al. Niepodległości 10
Poznań, 61-875
Poland

HOME PAGE: http://adamzaremba.pl

University of Dubai ( email )

Academic City
Dubai, 14143
United Arab Emirates

HOME PAGE: http://adamzaremba.pl/

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