Abstract
The aim of this paper is to examine the parallels between the country-level and the stock-level low-risk anomalies. The inter-market variation in returns do not follow the intra-market patterns. Country-level returns are positively related to standard deviation, value at risk, and idiosyncratic volatility, although the effect is largely explained by cross-national value, size and momentum effects. The risk-return relationship seems to be stronger in the cases idiosyncratic risk and is almost non-existent in the case of systematic risk (market beta). Furthermore, additional sorting on value at risk may markedly improve the performance of size and value strategies at the country level. The investigations are based on the cross-section analysis of 78 national stock markets for the period 1999–2014.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
