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Asset-Pricing Anomalies in Global Industry Indexes

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  • Carlo Capaul

Abstract

Most studies of asset-pricing anomalies have concentrated on country-specific or regional aggregates of country-specific equity universes. The study reported here concentrated on the performance of anomaly-based investment styles in industry-specific global portfolios. The perspective is that of a U.S. dollar-based investor, and the period is January 1991 through August 1998. The article compares the success during the period of a global industry-neutral strategy, a global industry-rotation strategy, and a global unrestricted investment strategy.

Suggested Citation

  • Carlo Capaul, 1999. "Asset-Pricing Anomalies in Global Industry Indexes," Financial Analysts Journal, Taylor & Francis Journals, vol. 55(4), pages 17-37, July.
    • Handle: RePEc:taf:ufajxx:v:55:y:1999:i:4:p:17-37
    DOI: 10.2469/faj.v55.n4.2282
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