Cross-country factor momentum

被引：0

作者：

Fieberg, Christian ^{[1
,2
,3
]}

Metko, Daniel ^{[4
]}

Zaremba, Adam ^{[5
,6
,7
]}

机构：

[1] HSB Hsch Bremen City Univ Appl Sci, Bremen, Germany

[2] Univ Luxembourg, Luxembourg, Luxembourg

[3] Concordia Univ, Montreal, PQ, Canada

[4] Univ Bremen, Bremen, Germany

[5] Montpellier Business Sch, 2300 Ave Moulins, F-34185 Montpellier 4, France

[6] Poznan Univ Econ & Business, Inst Finance, Dept Investment & Financial Markets, Al Niepodleglosci 10, PL-61875 Poznan, Poland

[7] Univ Cape Town, Fac Commerce, Dept Finance & Tax, Rondebosch, South Africa

来源：

ECONOMICS LETTERS | 2024年 / 235卷

关键词：

Factor momentum; Equity anomalies; Return predictability; Factor timing; International stock markets;

D O I：

10.1016/j.econlet.2024.111552

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. Top of Form

引用

页数：4

共 50 条

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