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Cross-country factor momentum

Author

Listed:
  • Fieberg, Christian
  • Metko, Daniel
  • Zaremba, Adam

Abstract

We study a new class of the momentum effect: cross-country factor momentum. We document a persistent international pattern: factors in winning countries consistently outperform those in losing countries. The effect holds across most anomalies and is robust to many considerations.

Suggested Citation

  • Fieberg, Christian & Metko, Daniel & Zaremba, Adam, 2024. "Cross-country factor momentum," Economics Letters, Elsevier, vol. 235(C).
    • Handle: RePEc:eee:ecolet:v:235:y:2024:i:c:s0165176524000363
    DOI: 10.1016/j.econlet.2024.111552
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    More about this item

    Keywords

    Factor momentum; Equity anomalies; Return predictability; Factor timing; International stock markets;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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