The momentum effect in country-level stock market anomalies
AbstractThe paper investigates the momentum effect in country-level anomalies in global equity markets. By using a sample of 78 countries for the period from 1995 to 2015, we test a set of potential 40 cross-sectional inter-market anomalies, some of which had never been examined before. Based on the findings, according to which half of these return patterns serve as reliable and robust sources of returns, we provide convincing evidence that the anomalies with good performance over the past 6–12 months tend to outperform in the future. Furthermore, returns on individual country-level strategies are weakly correlated. Consequently, developing a portfolio consisting of past top-performing strategies may constitute a valuable approach for international investors.
|Journal series||Ekonomska Istrazivanja-Economic Research, ISSN 1331-677X, (A 15 pkt)|
|Publication size in sheets||0.9|
|Keywords in English||Country-level patterns, equity anomalies, factor investing, international diversification, momentum, returns predictability|
|Score||= 15.0, 27-03-2020, ArticleFromJournal|
|Publication indicators||= 0; : 2018 = 0.775; : 2017 = 1.137 (2) - 2017=0.839 (5)|
|Citation count*||19 (2020-09-10)|
* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.