Research Output
Alpha momentum and alpha reversal in country and industry equity indexes
  Do past alphas predict future country and industry returns? Examination of equity indexes from 51 stock markets between 1973 and 2018 allows us to demonstrate new return patterns in the cross-section of country and industry returns. Past short-term (long-term) alphas positively (negatively) predict future returns. These phenomena can be translated into effective international equity allocation strategies, producing economically and statistically significant raw and risk-adjusted returns. The profitability is robust to many considerations, including alternative alpha models, the role of trading costs, different holding periods, or subsample analyses. Furthermore, the alpha momentum subsumes its return-based counterpart.

  • Date:

    12 July 2019

  • Publication Status:

    Published

  • Publisher

    Elsevier BV

  • DOI:

  • ISSN:

    0927-5398

  • Funders:

    Historic Funder (pre-Worktribe)

Citation

麻豆社区

Zaremba, A., Umutlu, M., & Karathanasopoulos, A. (2019). Alpha momentum and alpha reversal in country and industry equity indexes. Journal of Empirical Finance, 53, 144-161. https://doi.org/10.1016/j.jempfin.2019.07.003

Authors

Keywords

Alpha momentum, Alpha reversal, International investment, Country momentum, Country reversal, Industry momentum, Industry reversal, Asset pricing, The cross-section of returns return predictability, Equity anomalies

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