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Now showing items 1-10 of 10
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Alpha momentum and alpha reversal in country and industry equity indexes
(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 ... -
Alpha momentum and alpha reversal in country and industry equity indexes
(Journal of Empirical Finance, 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
(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
(Investment Analysts Journal, 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 ... -
Less pain, more gain: Volatility-adjusted residual momentum in international equity markets
(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 ... -
Opposites attract: Combining alpha momentum and alpha reversal in international equity markets
(Journal of Investing, 2020)The authors offer a new integrated framework to combine alpha momentum and alpha reversal into a superior investment strategy for international equity markets. Mixing both effects into a single blended alpha signal forms ... -
Size matters everywhere: Decomposing the small country and small industry premia
(North American Journal of Economics and Finance, 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 ... -
Size matters everywhere: Decomposing the small country and small industry premia
(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
(Applied Economics, 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 ... -
Strategies can be expensive too! The value spread and asset allocation in global equity markets
(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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