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• W3125315808 abstract "Recent empirical evidence has demonstrated that both global industry factors and country factors are important determinants of equity prices. In light of this evidence, we describe a cross-industry, cross-country allocation framework for making active global equity investment decisions. We present a forecasting approach to predicting the relative performance of industries in each of 22 developed country equity markets and demonstrate 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." @default.
• W3125315808 created "2021-02-01" @default.
• W3125315808 creator A5018567756 @default.
• W3125315808 creator A5058540424 @default.
• W3125315808 date "2003-04-29" @default.
• W3125315808 modified "2023-09-28" @default.
• W3125315808 title "Cross-Industry, Cross-Country Allocation" @default.
• W3125315808 hasPublicationYear "2003" @default.
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