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Country Value Premiums and Financial Crises

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  • Adam Zaremba

    (Poznań University of Economics, Poland)

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 from66 markets between years 2000 and 2013.

Suggested Citation

  • Adam Zaremba, 2014. "Country Value Premiums and Financial Crises," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 3(1), pages 12-50, January.
    • Handle: RePEc:rbs:ijfbss:v:3:y:2014:i:1:p:12-50
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