Interaction effects in the cross-section of country and industry returns

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance Pub Date : 2024-04-27 DOI:10.1016/j.jbankfin.2024.107200

Zaghum Umar , Adam Zaremba , Mehmet Umutlu , Aleksander Mercik

引用次数: 0

Abstract

We comprehensively examine the interaction effects in the cross-sectional predictability of country and industry returns. Using nearly five decades of data from 68 countries, we construct all possible double-sorted portfolios based on 44 portfolio characteristics and uncover numerous significant interactions. An out-of-sample value-weighted strategy that selects the top long-short country (industry) interactions generates a monthly World CAPM alpha of 0.33% (0.62%) with a Sharpe ratio of 0.58 (0.75). The strongest interactions stem from implementing momentum and technical analysis signals in small and illiquid countries or industries. Furthermore, the return patterns mainly emanate from frontier and weakly integrated markets—highlighting the role of market frictions and segmentation in the occurrence of abnormal returns. Consistent with these interpretations, the interactions decline over time as global markets mature and become more integrated.

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国家和行业收益截面的交互效应

我们全面考察了国家和行业回报率横截面预测性中的交互效应。利用 68 个国家近五十年的数据，我们根据 44 种投资组合特征构建了所有可能的双重排序投资组合，并发现了许多显著的交互作用。样本外价值加权策略选择了最重要的多空国家（行业）互动，产生了 0.33%（0.62%）的月度世界 CAPM 阿尔法，夏普比率为 0.58（0.75）。在流动性较差的小国家或行业中实施动量和技术分析信号，会产生最强的相互作用。此外，回报模式主要来自前沿市场和弱整合市场--凸显了市场摩擦和分割在异常回报中的作用。与这些解释相一致的是，随着全球市场的成熟和一体化程度的提高，交互作用会逐渐减弱。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Banking & Finance Multiple-

CiteScore

6.40

自引率

5.40%

发文量

262

期刊介绍： The Journal of Banking and Finance (JBF) publishes theoretical and empirical research papers spanning all the major research fields in finance and banking. The aim of the Journal of Banking and Finance is to provide an outlet for the increasing flow of scholarly research concerning financial institutions and the money and capital markets within which they function. The Journal''s emphasis is on theoretical developments and their implementation, empirical, applied, and policy-oriented research in banking and other domestic and international financial institutions and markets. The Journal''s purpose is to improve communications between, and within, the academic and other research communities and policymakers and operational decision makers at financial institutions - private and public, national and international, and their regulators. The Journal is one of the largest Finance journals, with approximately 1500 new submissions per year, mainly in the following areas: Asset Management; Asset Pricing; Banking (Efficiency, Regulation, Risk Management, Solvency); Behavioural Finance; Capital Structure; Corporate Finance; Corporate Governance; Derivative Pricing and Hedging; Distribution Forecasting with Financial Applications; Entrepreneurial Finance; Empirical Finance; Financial Economics; Financial Markets (Alternative, Bonds, Currency, Commodity, Derivatives, Equity, Energy, Real Estate); FinTech; Fund Management; General Equilibrium Models; High-Frequency Trading; Intermediation; International Finance; Hedge Funds; Investments; Liquidity; Market Efficiency; Market Microstructure; Mergers and Acquisitions; Networks; Performance Analysis; Political Risk; Portfolio Optimization; Regulation of Financial Markets and Institutions; Risk Management and Analysis; Systemic Risk; Term Structure Models; Venture Capital.