Adam ZarembaMehmet UmutluZaremba, AdamUmutlu, Mehmet2025-10-0620180003-68461466-428310.1080/00036846.2018.14895232-s2.0-85049965958http://dx.doi.org/10.1080/00036846.2018.1489523https://gcris.yasar.edu.tr/handle/123456789/7196https://doi.org/10.1080/00036846.2018.1489523Is the value spread useful for forecasting returns on quantitative equity strategies for country selection? To test this we examine a sample of 120 country-level equity strategies replicated within 72 stock markets for the years 1996-2017. The value spread is a powerful and robust predictor of strategy returns in the cross-section subsuming other methods based on momentum reversal or seasonality. Going long (short) the strategies with the broadest (narrowest) value spread produces significant four-factor model alphas markedly outperforming an equal-weighted benchmark of all of the strategies. The results are robust to many considerations.Englishinfo:eu-repo/semantics/closedAccessValue spread, country-level anomalies, country-selection strategies, asset allocation, asset pricing, international investment, return predictability, equity anomalies, the cross-section of returnsCROSS-SECTION, ENTERPRISE MULTIPLE, STOCK RETURNS, PREDICTOR, MOMENTUM, SIZE, RISKAsset AllocationInternational InvestmentEquity AnomaliesReturn PredictabilityValue SpreadCountry-Level AnomaliesThe Cross-Section of ReturnsCountry-Selection StrategiesAsset PricingArticle