Since 2014
Country Value Premiums and Financial Crises
International Journal of Finance & Banking Studies
View Archive Info| Field | Value | |
| Title |
Country Value Premiums and Financial Crises
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| Creator |
Zaremba, Adam; Poznan University of Economics
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| Subject |
Finance
asset pricing; investments; stock market; inter-country variation in stock returns; value premium; financial crisis |
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| Description |
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.
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| Publisher |
SSBFNET
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| Contributor |
—
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| Date |
2014-01-28
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
http://www.ssbfnet.com/ojs/index.php/ijfbs/article/view/250
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| Source |
International Journal of Finance & Banking Studies (ISSN: 2147- 4486); Vol 3, No 1 (2014): January; 12-50
2147-4486 |
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| Language |
eng
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| Relation |
http://www.ssbfnet.com/ojs/index.php/ijfbs/article/view/250/326
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