Value, Size, and Momentum across Countries
DOI:
https://doi.org/10.17010/ijf/2014/v8i9/71849Keywords:
Value Premium
, Size Premium, Momentum Effect, Cross-Section of Inter-Country Returns, Global Asset AllocationG11
, G12, G14, G15Paper Submission Date
, January 9, 2014, Paper sent back for Revision, June 5, Paper Acceptance Date, July 13, 2014.Abstract
The study investigated the characteristics of inter-country value, size, and momentum premiums. We have contributed to the asset-pricing literature in three ways. First, we have provided fresh evidence for value, size, and momentum premiums in country returns. Second, we showed that these premiums are robust to the changes of functional currencies or countries' representative indices. Third, we demonstrated that the country-level value, size, and momentum premiums tend to strengthen each other in double-sorted portfolios. We examined listings of stocks in 66 countries between the time period from 2000 and 2013.Downloads
Downloads
Published
How to Cite
Issue
Section
References
Amihud, Y., & Mendelson, H. (1986). Asset pricing and the bid-ask spread. Journal of Financial Economics, 17 (2), 223-249.
Asness, C. S., Moskowitz, T. J., & Pedersen L. H. (2013). Value and momentum everywhere. The Journal of Finance, 68 (3), 929 - 985. DOI: 10.1111/jofi.12021
Asness, C.S. (1994). Variables that explain stock returns (Ph.D. Dissertation). University of Chicago, Chicago.
Banz, R.W. (1981). The relation between return and market value of common stocks. Journal of Financial Economics, 9 (1), 3 - 18.
Barry, C. B., Goldreyer, E., Lockwood L., & Rodriguez, M. (2002). Robustness of size and value effects in emerging equity markets, 1985-2000. Emerging Markets Review, 3(1), 1-30.
Basu, S. (1977). Investment performance of common stocks in relation to their price-earnings ratios: A test of the efficient market hypothesis. The Journal of Finance, 32 (3), 663 - 682.
Basu, S. (1983). The relationship between earnings' yield, market value, and return for NYSE common stocks: Further evidence. Journal of Financial Economics, 12(1), 129 -156. DOI: 10.1016/0304-405X(83)90031-4
Bello, Z. (2007). How diversified are equity mutual funds. North American Journal of Finance and Banking Research, 1(1), 54-63.
Beverley, L. (2007). Stock market event studies and competition commission inquiries. Mimeo, U.K. Competition Commission.
Bhojraj, S., & Swaminathan, B. (2006). Macromomentum: Returns predictability in currencies and international equity indices. Journal of Business, 79 (1), 429-451.
Blume, M.E., & Stambaugh, R.F. (1983). Biases in computed returns: An application to the size effect. Journal of Financial Economics, 12 (3), 387-404. DOI: 10.1016/0304-405X(83)90056-9
Brown, P., Keim, D.B., Kleidon, A.W., & Marsh, T.A. (1983). Stock return seasonalities and the tax-loss selling hypothesis: Analysis of the arguments and Australian evidence. Journal of Financial Economics, 12(1), 105- 127. DOI: 10.1016/0304-405X(83)90030-2
Cakici, N., Fobozzi, F. J., & Tan, S. (2013). Size, value, and momentum in emerging market stock returns. Emerging Markets Review, 16, 46-65. DOI: 10.1016/j.ememar.2013.03.001
Cambell, J.Y., Lo, A.W., & MacKinlay, A.C. (1997). The econometrics of financial markets. Princeton, NJ : Princeton University Press.
Capaul, C., Rowley, I., & Sharpe, W. F. (1993). International value and growth stock returns. Financial Analysts Journal, 49 (1), 27-36. DOI: 10.2469/faj.v49.n1.27
Carhart, M.M. (1997). On persistence in mutual fund performance. The Journal of Finance, 52 (1), 57- 82. DOI: 10.1111/j.1540-6261.1997.tb03808.x
Chan, L.K.C, Hamao, Y., & Lakonishok, J. (1991). Fundamentals and stock returns in Japan. The Journal of Finance, 46 (5), 1739-1764. DOI: 10.1111/j.1540-6261.1991.tb04642.x
Chui, A. C.W., Titman, S., & Wei, K.C. J. (2010). Individualism and momentum around the world. The Journal of Finance, 65 (1), 361 - 392. DOI: 10.1111/j.1540-6261.2009.01532.x
Cochrane, J. H. (2005). Asset pricing. Princeton, NJ : Princeton University Press.
Cook T. J., & Roseff, M. (1982). Size, dividend yield and co-skewness effects on stock returns: Some empirical tests (Working Paper Series 18, 82-20). Iowa City, University of Iowa.
Davis, J. L. (1994). The cross-section of realized stock returns : The pre-COMPUSTAT evidence. The Journal of Finance, 49 (5), 1579-1593. DOI: 10.1111/j.1540-6261.1994.tb04773.x
De Bondt, W. F. M., & Thaler, R. (1985). Does the stock market overreact? The Journal of Finance, 40 (3), 793-805. DOI: 10.1111/j.1540-6261.1985.tb05004.x
Dimson, E., Marsh, P., & Staunton, M., Holland, D., & Matthews, B. (2011). Investment style, size, value and momentum. Credit Suisse Global Investment Returns Sourcebook 2011. Credit Suisse Research Institute, Zurich, 4, 1 -54.
Fama, E.F., Fisher, L., Jensen, M.C., & Roll, R. (1969). The adjustement of stock prices to new information. International Economic Review, 10 (1), 1-21.
Fama, E. F., & French, K.R. (1992). The cross-section of expected stock returns. The Journal of Finance, 47 (2), 427-465. DOI: 10.1111/j.1540-6261.1992.tb04398.x
Fama, E. F., & French, K.R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33 (1), 3-56. DOI: 10.1016/0304-405X (93)90023-5
Fama, E. F., & French, K.R. (1995). Size and book-to-market factors in earnings and returns. The Journal of Finance, 50 (1), 131-155. DOI: 10.1111/j.1540-6261.1995.tb05169.x
Fama, E. F., & French, K.R. (1996). Multifactor explanations of asset pricing anomalies. The Journal of Finance, 51 (1), 55-84. DOI: 10.1111/j.1540-6261.1996.tb05202.x
Fama, E.F., & French, K. R. (2008). Dissecting anomalies. The Journal of Finance, 63 (4), 1653-1678. DOI: 10.1111/j.1540-6261.2008.01371.x
Fama, E.F., & French, K.R. (2012). Size, value, and momentum in international stock returns. Journal of Financial Economics, 105 (3), 457- 472. DOI: 10.1016/j.jfineco.2012.05.011
Fama, E.F. & French, K.R. (2014). A five-factor asset pricing model. Fama-Miller Working Paper, pp. 1-53. DOI : http://dx.doi.org/10.2139/ssrn.2287202
French, K.R. (n.d.). Current research returns. Retrieved from http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html
Garff, D. (2013). Multi-style global equity investing: A statistical study on combining fundamentals, momentum, risk and valuation for improved performance. DOI: http://dx.doi.org/10.2139/ssrn.2367400
Grinblatt, M., & Moskowitz, T. J. (2004). Predicting stock price movements from past returns : The role of consistency and tax-loss selling. Journal of Financial Economics, 71 (3), 541-579. DOI: 10.1016/S0304-405X(03)00176-4
Herrera, M. J., & Lockwood, L.J. (1994). The size effect in the Mexican stock market. Journal of Banking and Finance, 18 (4), 621-632.
Heston, S. L., Rouwenhorst, K.G., & Weessels, R. E. (1999). The role of beta and size in the cross-section of European stock returns. European Financial Management, 5 (1), 9 -27. DOI: 10.1111/1468-036X.00077
Hong, H., Lim, T., & Stein, J.C. (2000). Bad news travels slowly: Size, analyst coverage, and the profitability of momentum strategies. The Journal of Finance, 55 (1), 265-295. DOI: 10.1111/0022-1082.00206
Horowitz, J. L., Loughran, T., & Savin, N.E. (2000). The disappearing size effect. Research in Economics, 54 (1), 83-100.
Jegadeesh, N. (2000). Long-term performance of seasoned equity offerings: Benchmark errors and biases in expectations. Financial Management, 29 (3), 5-30.
Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of Finance, 48 (1), 65-91. DOI: 10.1111/j.1540-6261.1993.tb04702.x
Jegadeesh, N., & Titman, S. (2001). Profitability of momentum strategies: An evaluation of alternative explanations. The Journal of Finance, 56 (2), 699 - 720.
Kim, D. (2012). Value premium across countries. The Journal of Portfolio Management, 38 (4), 75-86. DOI: 10.3905/jpm.2012.38.4.075
Kouwenberg, R., & Salomons, R. (2005). The value premium in emerging equity markets and local macroeconomic conditions (Working paper). Retrieved from http://people.few.eur.nl/kouwenberg/Value%20EM%20Paper%20v2.5b.pdf
L'Her, J.F., Masmoudi, T., & Suret, J.- M. (2004). Evidence to support the four-factor pricing model from the Canadian stock market. Journal of International Financial Markets, Institutions and Money, 14(4), 313-328. DOI: 10.1016/j.intfin.2003.09.001
Liew, J., & Vassalou, M. (2000). Can book-to-market, size and momentum be risk factors that predict economic growth? Journal of Financial Economics, 57 (2), 221-245. DOI: 10.1016/S0304-405X(00)00056-8
Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics, 47 (1), 13-37.
Markowitz, H.M. (1952). Portfolio selection. The Journal of Finance, 7 (1), 77- 91. DOI: 10.1111/j.1540-6261.1952.tb01525.x
Michou, M., Mouselli, S., & Stark A. W. (2010). Fundamental analysis and the modelling of normal returns in the UK. DOI: http://dx.doi.org/10.2139/ssrn.1607759
Mitchell, M.L., & Netter, J.M. (1994). The role of financial economics in securities fraud cases: Applications at the Securities and Exchange Commission. Business Lawyer, 49 (2), 545-590.
Mossin, J. (1966). Equilibrium in a capital asset market. Econometrica, 34 (4), 768-783.
Reinganum, M.R (1981). Misspecification of capital asset pricing : Empirical anomalies based on earning' yield and market values. Journal of Financial Economics, 9 (1), 19-46. DOI: 10.1016/0304-405X(81)90019-2
Rosenberg, B., Reid, K., & Lanstein, R. (1985). Persuasive evidence of market inefficiency. The Journal of Portfolio Management, 11 (3), 9 - 16. DOI: 10.3905/jpm.1985.409007
Rouwenhorst, K. G. (1999). Local returns factors and turnover in emerging stock market. Journal of Finance, 54 (4), 1439-1464. DOI: 10.1111/0022-1082.00151
Saji, T.G., Harikumar, S., & Kasim M.C. (2013). Size and returns: A Study of the Indian stock market. Indian Journal of Finance, 7 (5), 14-23.
Sharpe, W.F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19 (3), 425 - 442.
Sharpe, W.F. (1966). Mutual fund performance. Journal of Business, 39 (S1), 119-138.
Simlai, P. (2009). Evaluating momentum and contrarian strategies for technology speculation. Indian Journal of Finance, 3 (1), 3-9, 21.
Stattman, D. (1980). Book values and stock returns. Chicago MBA : A Journal of Selected Papers, 4, 25-45.
Vasantha, S., Dhanraj, V., & Varadharajan, R. (2012). Stock price movement through technical analysis: Empirical evidence from the information technology sector. Indian Journal of Finance, 6 (10), 4-17.
