Cross-country factor momentum
Veröffentlichungsdatum
2024
Zusammenfassung
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.
Schlagwörter
Factor momentum
;
Equity anomalies
;
Return predictability
;
Factor timing
;
International stock markets
Verlag
Elsevier
Institution
Dokumenttyp
Wissenschaftlicher Artikel
Zeitschrift/Sammelwerk
Heft
235
Startseite
111552
Sprache
Englisch