Separating momentum from reversal in international stock markets

Christian Walkshäusl (), Florian Weißofner and Ulrich Wessels
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Christian Walkshäusl: University of Regensburg
Florian Weißofner: University of Regensburg
Ulrich Wessels: University of Regensburg

Journal of Asset Management, 2019, vol. 20, issue 2, No 3, 123 pages

Abstract: Abstract Taking into account expected return characteristics like firm size and book-to-market in the selection of winners and losers helps to ex ante separate stocks with momentum from those that exhibit reversal in international equity markets. A strategy that buys small value winners and sells large growth losers generates significantly larger momentum profits than a standard momentum strategy, is robust to common return controls, and does not suffer from return reversals for holding periods up to 3 years. The superior performance of the strategy is attributable to a rather systematic exploitation of cross-sectional mispricing among momentum stocks.

Keywords: Momentum; Reversal; Return predictability; Mispricing; International markets (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (3)

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DOI: 10.1057/s41260-019-00109-5

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