The Cross Section of Country Equity Returns: A Review of Empirical Literature

50 Pages Posted: 19 Sep 2019

See all articles by Adam Zaremba

Adam Zaremba

Poznań University of Economics and Business; Montpellier Business School

Date Written: September 10, 2019


The last three decades brought mounting evidence regarding the cross-sectional predictability of country equity returns. The studies not only documented country-level counterparts of well-established stock-level anomalies, such as size, value, or momentum, but also demonstrated some unique return-predicting signals such as fund flows or political regimes. Nonetheless, different studies vary remarkably in terms of their dataset and methods employed. This study aims to provide a comprehensive review of the current literature on the cross-section of country equity returns. We focus on three particular aspects of the asset pricing literature. First, we study the choice of dataset and sample preparation methods. Second, we survey different aspects of the methodological approaches. Last but not least, we review the country-level equity anomalies discovered so far. The discussed cross-sectional return patterns not only provide new insights into international asset pricing but can also be potentially translated into effective country allocation strategies.

Keywords: cross section of country equity returns, country-level stock market anomalies, empirical asset pricing, international equity markets, return predictability

JEL Classification: G12, G14, G15

Suggested Citation

Zaremba, Adam, The Cross Section of Country Equity Returns: A Review of Empirical Literature (September 10, 2019). Available at SSRN: or

Adam Zaremba (Contact Author)

Poznań University of Economics and Business ( email )

al. Niepodległości 10
Poznań, 61-875


Montpellier Business School ( email )

2300 Avenue des Moulins
Montpellier, Occitanie 34000

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