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Alpha momentum and alpha reversal in country and industry equity indexes
Zaremba, A.; Umutlu, M.; Karathanasopoulos, A. (ELSEVIER, 2019)Do past alphas predict future country and industry returns? Examination of equity indexes from 51 stock markets between 1973 and 2018 allows us to demonstrate new return patterns in the cross-section of country and industry ... -
Decomposing the earnings-to-price ratio and the cross-section of international equity-index returns
Umutlu, M.; Bengitoz, P.; Zaremba, A. (Routledge, 2021)We examine whether components of the earnings-to-price (EP) ratio can be used to extract incremental information to better estimate future returns in the cross-section of country-industry indexes. We demonstrate that the ... -
Less pain, more gain: Volatility-adjusted residual momentum in international equity markets
Zaremba, A.; Umutlu, M.; Maydybura, A. (INVESTMENT ANALYSTS SOC SOUTHERN AFRICA, 2018)We offer a new type of momentum strategy - the volatility-adjusted residual momentum (VARMOM) - which is based on average past residuals scaled with their volatility. We demonstrate its application for international asset ... -
Size matters everywhere: Decomposing the small country and small industry premia
Zaremba, A.; Umutlu, M. (ELSEVIER SCIENCE INC, 2018)We explore the country and industry size effects by decomposing market value into four components: short-term return, representing momentum; long-run return, representing reversal; composite issuance; and lagged market ... -
Strategies can be expensive too! The value spread and asset allocation in global equity markets
Zaremba, A.; Umutlu, M. (ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD, 2018)Is the value spread useful for forecasting returns on quantitative equity strategies for country selection? To test this, we examine a sample of 120 country-level equity strategies replicated within 72 stock markets for ...
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