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Risk factor and industry effects in the cross-country comovement of momentum returns

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  • Naranjo, Andy
  • Porter, Burt
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    Abstract

    This paper examines the sources of cross-country comovement of momentum returns over the 1975-2004 period. Using data on more than 17,000 individual firms across 100 industries from 40 countries, we document the profitability of country-neutral individual firm, industry, and industry-adjusted return momentum. We show that country-neutral momentum returns are significantly correlated across countries, the correlation is time-varying, and that comovement among industries cannot explain the comovement of country-neutral momentum returns. However, we find that standard risk factor models do explain a significant portion of the cross-country comovement of momentum returns, even though they do not explain average momentum returns.

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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of International Money and Finance.

    Volume (Year): 29 (2010)
    Issue (Month): 2 (March)
    Pages: 275-299

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    Handle: RePEc:eee:jimfin:v:29:y:2010:i:2:p:275-299

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    Web page: http://www.elsevier.com/locate/inca/30443

    Related research

    Keywords: International return momentum Comovement Asset pricing Risk factors Industry effects Integration;

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    Cited by:
    1. Gyamfi-Yeboah, Frank & Ling, David C. & Naranjo, Andy, 2012. "Information, uncertainty, and behavioral effects: Evidence from abnormal returns around real estate investment trust earnings announcements," Journal of International Money and Finance, Elsevier, vol. 31(7), pages 1930-1952.

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