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Testing the Country Allocation Strategies

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Country Asset Allocation

Abstract

Here, the authors test all the strategies based on 78 country equity markets, including developed, emerging, and frontier markets. The study is based on MSCI indices and controls for dividend taxes while implementing sorting procedures and cross-sectional tests to examine the performance of equal-weighted and capitalization-weighted portfolios of the countries. All the country asset allocation strategies are evaluated using standard measures like Sharpe ratio and the CAPM model.

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Authors and Affiliations

  1. Poznan University of Economics and Business, Poznan, Poland

    Adam Zaremba

  2. AlphaBeta, Tel Aviv, Israel

    Jacob Shemer

Authors
  1. Adam Zaremba
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  2. Jacob Shemer
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Zaremba, A., Shemer, J. (2017). Testing the Country Allocation Strategies. In: Country Asset Allocation. Palgrave Macmillan, New York. https://doi.org/10.1057/978-1-137-59191-3_7

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  • DOI: https://doi.org/10.1057/978-1-137-59191-3_7

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  • Publisher Name: Palgrave Macmillan, New York

  • Print ISBN: 978-1-137-59190-6

  • Online ISBN: 978-1-137-59191-3

  • eBook Packages: Economics and FinanceEconomics and Finance (R0)

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