Country asset allocation : quantitative country selection strategies in global factor investing /
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| Format: | eBook |
| Language: | English |
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[London] :
Palgrave Macmillan,
2017.
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| Online Access: | Connect to the full text of this electronic book |
Table of 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?; Notes References; 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.