Cross-country factor momentum

Christian Fieberg, Daniel Metko and Adam Zaremba

Economics Letters, 2024, vol. 235, issue C

Abstract: 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.

Keywords: Factor momentum; Equity anomalies; Return predictability; Factor timing; International stock markets (search for similar items in EconPapers)
JEL-codes: G11 G12 G17 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:235:y:2024:i:c:s0165176524000363

DOI: 10.1016/j.econlet.2024.111552

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