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

  • Naranjo, Andy
  • Porter, Burt
Registered author(s):

    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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    File URL: http://www.sciencedirect.com/science/article/pii/S0261-5606(09)00063-1
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    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
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/30443

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