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Is there momentum in factor premia? Evidence from international equity markets

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  • Zaremba, Adam
  • Shemer, Jacob

Abstract

This study examines the momentum effect in the returns of factor premia representing a broad set of stock market strategies. Using cross-sectional and time-series tests, we investigate the performance persistence of market, value, size, momentum, low-risk, and quality premia within a sample of 24 international equity markets for the years 1990–2016. We provide strong evidence that the top performing factors continue to outperform the worst performing factors both in individual equity markets and in the cross-country framework. The momentum in factor premia is largely explained by the classic stock-level momentum effect.

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  • Zaremba, Adam & Shemer, Jacob, 2018. "Is there momentum in factor premia? Evidence from international equity markets," Research in International Business and Finance, Elsevier, vol. 46(C), pages 120-130.
    • Handle: RePEc:eee:riibaf:v:46:y:2018:i:c:p:120-130
    DOI: 10.1016/j.ribaf.2017.12.002
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    Cited by:

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    2. Zaremba, Adam & Mikutowski, Mateusz & Karathanasopoulos, Andreas & Osman, Mohamed, 2019. "Picking winners to pick your winners: The momentum effect in commodity risk factors," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    3. Luo, Di, 2022. "ESG, liquidity, and stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).

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    More about this item

    Keywords

    Momentum; Factor premium; Asset pricing; Value; Size; Quality; Low-volatility; Style momentum; Performance persistence; International equity markets; Market efficiency; Return predictability;
    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
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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