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
Date Written: January 7, 2014
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
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