Value, Size and Momentum Across Countries

Indian Journal of Finance, 2014, vol. 8, no. 9, pp. 7-31.

Posted: 7 Jan 2014 Last revised: 22 Dec 2014

See all articles by Adam Zaremba

Adam Zaremba

Poznań University of Economics and Business; University of Dubai

Przemyslaw Konieczka

Warsaw School of Economics (SGH)

Date Written: January 7, 2014

Abstract

The study investigates the characteristics of inter-country value, size and momentum premiums. We contribute to the asset-pricing literature in three ways. First, we provide fresh evidence for value, size and momentum premiums in country returns. Second, we show that these premiums are robust to the changes of functional currencies or countries’ representative indices. Third, we demonstrate, that the country-level value, size and momentum premiums tend to strengthen each other in double-sorted portfolios. We examine listings of stocks in 66 countries between 2000 and 2013.

Keywords: value premium, size premium, momentum effect, cross-section of inter-country returns, global asset allocation

JEL Classification: G11, G12, G14, G15

Suggested Citation

Zaremba, Adam and Konieczka, Przemyslaw, Value, Size and Momentum Across Countries (January 7, 2014). Indian Journal of Finance, 2014, vol. 8, no. 9, pp. 7-31., Available at SSRN: https://ssrn.com/abstract=2375902 or http://dx.doi.org/10.2139/ssrn.2375902

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/

Przemyslaw Konieczka

Warsaw School of Economics (SGH) ( email )

aleja Niepodleglosci 162
PL-Warsaw, 02-554
Poland

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