Country Value Premiums and Financial Crises
Open Access
- 21 January 2014
- journal article
- Published by Center for Strategic Studies in Business and Finance SSBFNET in International Journal of Finance & Banking Studies (2147-4486)
- Vol. 3 (1), 12-50
- https://doi.org/10.20525/ijfbs.v3i1.167
Abstract
The paper concentrates on the value premium across countries and contributes to the investment and asset pricing literature in three ways. First, I provide fresh evidence that the high-value countries perform significantly better than the low-value countries. Additionally, this phenomenon is indifferent to the choice of the computational currency, representative index or value indicator. Second, I demonstrate that the value effect can be successfully amplified by combining with country-level size and momentum effects. Third, I show that returns to the high-value countries deteriorate in financial crisis conditions, because the country-level value premium is negatively correlated with the credit spreads, TED spread and expected volatility. I examine data from 66 markets between years 2000 and 2013.Keywords
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