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  1. 1 Konieczka P.

  2. 1 Zaremba A.

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Strategie doboru państw do portfela inwestycyjnego

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Zaremba A., Konieczka P.
Nauki o Finansach
|
2015
|
issue 1(22)
101-119
EN
This study examines 16 country selection strategies based on inter-market value, size, momentum, quality and volatility effects. We investigate a sample of 78 countries for the period 1999-2014. Having considered country-specific dividend tax rates, market liquidity and openness for investment flows we can state that chosen strategy based on earnings to price ratio proves useful for investors. Momentum strategies should be approached with caution, as they appear effective only in small markets and may lead to loses in large markets. Selecting low leveraged and illiquid countries also proves beneficial. The relation between volatility displays different characteristics for open and closed economies.
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