haku: @author Cavaglia, S. / yhteensä: 4
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| Tekijä: | Cavaglia, S. Moroz, V. |
| Otsikko: | Cross-industry, cross-country allocation |
| Lehti: | Financial Analysts' Journal
2002 : NOV/DEC, VOL. 58:6, p. 78-97 |
| Asiasana: | Portfolio management Finance Forecasting Models International USA |
| Kieli: | eng |
| Tiivistelmä: | Recent empirical evidence has demonstrated that both global industry factors and country factors are important determinants of equity prices. Related with this evidence, this study describes a cross-industry, cross-country allocation framework for making active global equity investment decisions presenting a forecasting approach to predicting the relative performance of industries in each of 22 developed country equity markets and demonstrating that a blend of style signals provides an effective way to predict the return performance of these assets. The out-of-sample portfolio performance of investment strategies based on these forecasts for the 1991-2001 period would have provided annual gross returns in excess of the world benchmark return of 400 bps a year with one-way turnover of 50 percent. Conventional global risk models cannot explain this outperformance. Thus, explaining this "anomaly" is a challenge for the investment and academic communities. |
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