Country asset allocation : quantitative country selection strategies in global factor investing /: quantitative country selection strategies in global factor investing. (2016)

• Record Type: Book
• Further Information: Note: Adam Zaremba and Jacob Shemer.
• Other Names: Zaremba, Adam, 1985-; Shemer, Jacob
• Contents: Foreword; Preface; Acknowledgments; Contents; List of Figures; List of Tables; Chapter 1: Introduction; Notes; References; PART I; Chapter 2: Value Versus Growth: Is Buying Cheap Always a Bargain?; Implementation and Tests of Value Strategies; Why Does Value Outperform Growth?; Notes; References; Chapter 3: Trend Is Your Friend: Momentum Investing; What Is Momentum?; Does Momentum Work?; Why Does Momentum Work?; Improving Momentum Strategies; Notes; References; Chapter 4: Is Small Beautiful? Size Effect in Stock Markets; Small Firms Outperform; Does the Size Premium Really Exist, and Why? NotesReferences; Chapter 5: Is Risk Always Rewarded? Low-Volatility Anomalies; The Risk and€Return in€Financial Markets; Why the€Risk Patterns Work (or Not); Notes; References; Chapter 6: Is Good Company a€Good Investment? Quality Investing; History and€Definitions of€Quality Investing; How to€Measure Quality?; Notes; References; PART II; Chapter 7: Testing the€Country Allocation Strategies; The Data We€Use; How We€Build the€Portfolios; How We€Test the€Strategies; Notes; References; Chapter 8: A Short Primer on€International Equity Investing; Notes; References. Chapter 9: Value-Oriented Country SelectionValue Versus Growth Across Countries; Performance Within Recent Years; How to€Find More Value in€Value?; Notes; References; Chapter 10: Momentum Effect Across Countries; Basic Momentum Strategies; Improving the€Country-Level Momentum; Alternative Momentum Techniques; Any Other Return Patterns?; Notes; References; Chapter 11: Small-Country Effect; Small Countries Do Not Always Outperform; Is There a€Cross-Country Liquidity Premium?; Note; References; Chapter 12: Risk-Based Country Asset Allocation; Beta, Volatility and€Other "Price" Risks. Does Skewness Matter?Non-Market Risks; Note; References; Chapter 13: Country Selection Based on€Quality; Leverage and€Distress Risk; Profitability; Stock Issuance; Notes; References; Chapter 14: What Next? Combining and€Improving Country Selection Strategies; Diversification Across Strategies; Timing the€Country-Level Strategies; Seasonal Effects; Is There Momentum Across Strategies?; Notes; References; Chapter 15: Conclusions; References; Appendix A: List of€countries investigated in€the€study; Appendix B: Major cross-sectional patterns with€their explanations; References; Index.
• Publisher Details: London : Palgrave Macmillan
• Publication Date: 2016
• Extent: 1 online resource
• Subjects: 332.66; Finance; Investment banking; BUSINESS & ECONOMICS -- Finance; Investment banking; Business & Economics -- General; Business & Economics -- Econometrics; Economics; Econometrics; Consumer advice; Securities; Economics; Econometrics; Business & Economics -- Investments & Securities; Investment & securities; Electronic books
• Languages: English
• ISBNs: 9781137591913; 1137591919
• Related ISBNs: 9781137591906; 1137591900
• Notes: Note: Includes bibliographical references and index.; Note: Online resource; title from PDF title page (EBSCO, viewed November 11, 2016).
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.