Journal of Portfolio Management · Vol. 44, No. 1, Fall 2017

你是否应该让你的股票投资组合向较小的国家倾斜?

作者：Gregg S. Fisher(Quantitative Research & Portfolio Strategy at Gerstein Fisher in New York, NY)

Ronnie Shah(U.S. Quantitative Strategy Research at Deutsche Bank in New York, NY)

Sheridan Titman(the University of Texas at Austin in Austin, TX)

摘要：在本文中，作者考察了用一国上市股票总市值衡量的国家规模和个股的回报的关系。研究发现，小国家股票的平均回报率往往高于大国家的股票。国家规模效应在很大程度上独立于公司规模效应和其他国家层面可量化因素，如账面市值比和动量。作者推测，国家规模效应是由于家庭偏误，并提供了混合的证据来支持这一猜想。

Should You Tilt Your Equity Portfolio to Smaller Countries?

Gregg S. Fisher(Quantitative Research & Portfolio Strategy at Gerstein Fisher in New York, NY);Ronnie Shah(U.S. Quantitative Strategy Research at Deutsche Bank in New York, NY);Sheridan Titman(the University of Texas at Austin in Austin, TX)

ABSTRACT

In this article, the authors examine the relationship between country size, measured as the aggregate market capitalization of the listed stocks in a country, and individual stock returns. They find that stocks from small countries tend to have higher average returns than stocks from large countries. The country size effect is largely independent of the firm size effect and other country quantitative factors such as book/market and momentum. The authors conjecture that the country size effect is due to home bias and provide mixed evidence in support of this conjecture.

原文链接：

http://www.iijournals.com/doi/abs/10.3905/jpm.2017.44.1.127

翻译：黄涛