Abstract
The small-country effect is a tendency of small country equity markets to outperform large markets. Here the authors examine the country-level cross-sectional return patterns related to capitalization and liquidity. They form equal-weighted and capitalization-weighted portfolios based on the data from 78 countries for the years 1995–2015 and reveal the small-country effect to be both unstable and unreliable, predominantly explained by country and liquidity risk.
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Zaremba, A., Shemer, J. (2017). Small-Country Effect. In: Country Asset Allocation. Palgrave Macmillan, New York. https://doi.org/10.1057/978-1-137-59191-3_11
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DOI: https://doi.org/10.1057/978-1-137-59191-3_11
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Publisher Name: Palgrave Macmillan, New York
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Online ISBN: 978-1-137-59191-3
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