Adam ZarembaMehmet Umutlu2025-10-06201814664283, 000368460003-68461466-428310.1080/00036846.2018.1489523https://www.scopus.com/inward/record.uri?eid=2-s2.0-85049965958&doi=10.1080%2F00036846.2018.1489523&partnerID=40&md5=1b2c0fa44948375f1cfc2026b371f1dchttps://gcris.yasar.edu.tr/handle/123456789/9501Is 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. © 2018 Elsevier B.V. All rights reserved.EnglishAsset Allocation, Asset Pricing, Country-level Anomalies, Country-selection Strategies, Equity Anomalies, International Investment, Return Predictability, The Cross-section Of Returns, Value Spread, Investment, Prediction, Pricing Policy, Stock Marketinvestment, prediction, pricing policy, stock marketArticle