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Strategies can be expensive too! The value spread and asset allocation in global equity markets

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Date
2018
Author
Zaremba, A.
Umutlu, M.
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Abstract
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 the years 1996–2017. The value spre
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https://www.scopus.com/inward/record.uri?eid=2-s2.0-85049965958&doi=10.1080%2f00036846.2018.1489523&partnerID=40&md5=3a69dcca1a1be8397d2bef4f4e4034f4
https://dspace.yasar.edu.tr/xmlui/handle/20.500.12742/9916
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