The last three decades brought mounting evidence regarding the cross-sectional
predictability of country equity returns. The studies not only documented country-level …

Using a news-based gauge of geopolitical risk, we study its role in asset pricing in global
emerging markets. We find that changes in risk positively predict future stock returns. The …

Under the paradigm of factor investing, we create a global factor allocation strategy using
country indexes and portfolio construction methodologies that are robust to estimation error …

In this article, the authors examine the relationship between country size, measured as the
aggregate market capitalization of the listed stocks in a country, and individual stock returns …

We explore the country and industry size effects by decomposing market value into four
components: short-term return, representing momentum; long-run return, representing …

We investigate the potential cross-sectional relationship between several equity index
attributes and future returns on country-industry indexes in the regions of North America …

The authors evaluate and compare the usefulness of various valuation ratios for equity
country allocation. To this end, the performance of 73 national equity indexes is investigated …

This thesis aims to examine the relationship between various asset pricing fac-tors and the
returns of IT stocks in the CEE region. Specifically, it investigates the significance of …

In this thesis, I investigate whether investments in emerging market stocks can generate a
higher risk-adjusted portfolio return than investments in developed markets. To investigate …

This chapter aims to provide a comprehensive review of the current literature on the cross-
section of country equity returns. It focuses on three particular aspects of the asset pricing …