The predictive power for country selection of expected returns estimated through the residual income model is examined through analysis of 19 developed-country indices for 1988-2005. Zero-investment strategies based on a ranking or optimization methodology expected returns and conditional...

Strategies that entailed country selection based on relative strength (momentum) posted significant market risk-adjusted returns over the past 30 years, but relative-value strategies based on book value of equity to market value of equity did not. Because these two fixed-style strategies are...