Abstract
The aim of this paper is to present the low-volatility and momentum effects across country-level anomalies in global equity markets. By using a sample of 78 countries for the period from 1995 to 2015, a set of potential 40 cross-sectional inter-market anomalies was tested, some of which had never been examined before. Based on the findings, according to which half of the abovementioned anomalies serve as reliable and robust sources of returns, we provide convincing evidence that the anomalies with low volatility over the past 12-48 months or good performance over the past 6-12 months tend to outperform in the future. Furthermore, the study showed that returns on individual country-level strategies are weakly correlated. Consequently, developing a portfolio consisting of past top-performing or low-volatility strategies may constitute a valuable approach for international investors.
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