Abstract
This is the first paper analyzing the impact of index momentum factors on the performance of international and global equity funds. Extending an international, index-based version of the Fama and French (1993) three-factor model by adding the factors of country momentum and sector momentum, we find that more than 50% of funds exhibit significant exposure to at least one of these factors. Including both new factors in performance evaluation clearly impacts results when analyzing (i) the risk-adjusted performance, (ii) the performance persistence of funds, and (iii) luck versus skill in the cross-section of funds. Our main results are robust against models which additionally cover a stock-based momentum factor as well as single country, regional and sector factors.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
