Abstract
The 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.
Highlights
Momentum is defined as the tendency of assets with good past performance to outperform in the future
The country zero-investment portfolios from sorts on a book-to-market ratio (B.M.) and an earnings-to-price ratio (E.P.) have significant, positive mean monthly returns within the net approach that are to some extent explained by the asset-pricing models
This paper examines the momentum phenomenon across country-level equity market anomalies
Summary
Momentum is defined as the tendency of assets with good (poor) past performance to outperform (underperform) in the future. The phenomenon applies to the most pervasive anomalies ever discovered. This study shows the momentum anomaly in an entirely new dimension and examines the possibility of applying it to the selection of country-level investment strategies. We formulate a hypothesis that the momentum effect should be observable in the anomalies themselves if either is present within the constituents of portfolios based on inter-market anomalies. This study investigates whether the phenomenon of momentum works for financial assets and for inter-market anomalies. To this end, in the first place, a set of 40 cross-sectional country-level anomalies is examined, including some that had never before been investigated
Sign-in/Register to view highlights & summary 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.
