Text
Residual income approach to equity country selection
The predictive power for country selection of expected returns estimated through the residual income model is examined through analysis of 19 developed-country indices for 1988-2005. Zero-investment strategies based on a ranking or optimization methodology--expected returns and conditional country risk estimates--posted significant positive performance over various holding periods. Risk-adjusted returns remained significant after control for four world risk factors--market, size, the book-to-market ratio, and momentum--constructed through a country stratification methodology based on stock constituents. The results were robust to various long-term growth estimates and to different country-universe subsamples and remained robust after transaction costs were taken into account.
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| FAJ6302 | PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | Virginia: CFA Institute 2007 |
|---|---|
| Edisi | Vol. 63, No. 2, Mar. - Apr., 2007 |
| Subjek | Risk-adjusted Returns Residual Income Model (RIM) equity country selection zero-investment strategies global risk factors (market, size, b/m, momentum) |
| ISBN/ISSN | 0015198X |
| Klasifikasi | NONE |
| Deskripsi Fisik | 14 p. |
| Info Detail Spesifik | Financial Analysts Journal |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas |