Citation link:
Publisher DOI: https://doi.org/10.1016/j.econlet.2024.111552
https://media.suub.uni-bremen.de/handle/elib/8604
Publisher DOI: https://doi.org/10.1016/j.econlet.2024.111552
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Cross-country factor momentum
| Authors: | Fieberg, Christian  Metko, Daniel Zaremba, Adam |
Abstract: | 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. |
Keywords: | Factor momentum; Equity anomalies; Return predictability; Factor timing; International stock markets | Issue Date: | 2024 | Publisher: | Elsevier | Journal/Edited collection: | Economics Letters | Issue: | 235 | Start page: | 111552 | Type: | Artikel/Aufsatz | ISSN: | 01651765 | Institution: | Hochschule Bremen | Faculty: | Hochschule Bremen - Fakultät 1: Wirtschaftswissenschaften - School of International Business (SiB) |
| Appears in Collections: | Bibliographie HS Bremen |
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