Asset-Pricing Anomalies in Global Industry Indexes

Carlo Capaul

Financial Analysts Journal, 1999, vol. 55, issue 4, 17-37

Abstract: Most studies of asset-pricing anomalies have concentrated on country-specific or regional aggregates of country-specific equity universes. The study reported here concentrated on the performance of anomaly-based investment styles in industry-specific global portfolios. The perspective is that of a U.S. dollar-based investor, and the period is January 1991 through August 1998. The article compares the success during the period of a global industry-neutral strategy, a global industry-rotation strategy, and a global unrestricted investment strategy.

Date: 1999
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DOI: 10.2469/faj.v55.n4.2282

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