Country Value Premiums and Financial Crises

Adam Zaremba ()

International Journal of Finance & Banking Studies, 2014, vol. 3, issue 1, 12-50

Abstract: 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 from66 markets between years 2000 and 2013.

Keywords: inter-country variation in stock returns; value premium; financial crisis (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.ssbfnet.com/ojs/index.php/ijfbs/article/view/400/395 (application/pdf)
https://www.ssbfnet.com/ojs/index.php/ijfbs/article/view/400 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rbs:ijfbss:v:3:y:2014:i:1:p:12-50

Access Statistics for this article

International Journal of Finance & Banking Studies is currently edited by Prof.Dr.Hasan Dincer

More articles in International Journal of Finance & Banking Studies from Center for the Strategic Studies in Business and Finance IJFBS Editorial Office, IMU, School of Business. Contact information at EDIRC.
Bibliographic data for series maintained by Hasan Dincer ().