Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2018.1441045
The momentum effect in country-level stock market anomalies
Adam Zaremba
orcid.org/0000-0001-5879-9431
; Poznan University of Economics and Business, Poznan, Poland
Sažetak
The paper investigates the momentum effect in country-level
anomalies in global equity markets. By using a sample of 78 countries
for the period from 1995 to 2015, we test a set of potential 40 crosssectional
inter-market anomalies, some of which had never been
examined before. Based on the findings, according to which half of
these return patterns serve as reliable and robust sources of returns,
we provide convincing evidence that the anomalies with good
performance over the past 6–12 months tend to outperform in the
future. Furthermore, returns on individual country-level strategies are
weakly correlated. Consequently, developing a portfolio consisting of
past top-performing strategies may constitute a valuable approach
for international investors.
Ključne riječi
Country-level patterns; equity anomalies, factor investing; international diversification; momentum; returns predictability
Hrčak ID:
206071
URI
Datum izdavanja:
3.12.2018.
Posjeta: 1.296 *