Stock Selection in Six Major Non-U.S. Markets

Abstract

The author evaluates performance of a multivariate approach to selecting stocks in six major non-U.S. markets. The approach which combines the information in value, growth, and momentum strategies, has the ability to distinguish between high and low expected return securities in each of these markets. Moreover the proposed approach induces minimal turnover, suggesting that the measured spread between high and low expected return portfolios will be robust to transaction costs in live application.