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Separating momentum from reversal in international stock markets

Author

Listed:
  • Christian Walkshäusl

    (University of Regensburg)

  • Florian Weißofner

    (University of Regensburg)

  • Ulrich Wessels

    (University of Regensburg)

Abstract

Taking into account expected return characteristics like firm size and book-to-market in the selection of winners and losers helps to ex ante separate stocks with momentum from those that exhibit reversal in international equity markets. A strategy that buys small value winners and sells large growth losers generates significantly larger momentum profits than a standard momentum strategy, is robust to common return controls, and does not suffer from return reversals for holding periods up to 3 years. The superior performance of the strategy is attributable to a rather systematic exploitation of cross-sectional mispricing among momentum stocks.

Suggested Citation

  • Christian Walkshäusl & Florian Weißofner & Ulrich Wessels, 2019. "Separating momentum from reversal in international stock markets," Journal of Asset Management, Palgrave Macmillan, vol. 20(2), pages 111-123, March.
    • Handle: RePEc:pal:assmgt:v:20:y:2019:i:2:d:10.1057_s41260-019-00109-5
    DOI: 10.1057/s41260-019-00109-5
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    Cited by:

    1. Zaremba, Adam & Long, Huaigang & Karathanasopoulos, Andreas, 2019. "Short-term momentum (almost) everywhere," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).

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