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The Cross Section of Country Equity Returns: A Review of Empirical Literature

by Adam Zaremba 1,2
1
Department of Investment and Capital Markets, Institute of Finance, Poznan University of Economics and Business, al. Niepodległości 10, 61-875 Poznań, Poland
2
Dubai Business School, University of Dubai, Academic City, P.O. Box 14143 Dubai, UAE
J. Risk Financial Manag. 2019, 12(4), 165; https://doi.org/10.3390/jrfm12040165
Received: 27 September 2019 / Revised: 18 October 2019 / Accepted: 23 October 2019 / Published: 28 October 2019
(This article belongs to the Special Issue Review Papers for Journal of Risk and Financial Management (JRFM))
The last three decades brought mounting evidence regarding the cross-sectional predictability of country equity returns. The studies not only documented country-level counterparts of well-established stock-level anomalies, such as size, value, or momentum, but also demonstrated some unique return-predicting signals such as fund flows or political regimes. Nonetheless, the different studies vary remarkably in terms of their dataset and methods employed. This study aims to provide a comprehensive review of the current literature on the cross-section of country equity returns. We focus on three particular aspects of the asset pricing literature. First, we study the choice of dataset and sample preparation methods. Second, we survey different aspects of the methodological approaches. Last but not least, we review the country-level equity anomalies discovered so far. The discussed cross-sectional return patterns not only provide new insights into international asset pricing but can also be potentially translated into effective country allocation strategies. View Full-Text
Keywords: cross section of country equity returns; country-level stock market anomalies; empirical asset pricing; international equity markets; return predictability cross section of country equity returns; country-level stock market anomalies; empirical asset pricing; international equity markets; return predictability
MDPI and ACS Style

Zaremba, A. The Cross Section of Country Equity Returns: A Review of Empirical Literature. J. Risk Financial Manag. 2019, 12, 165.

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