Trade momentum for alpha

Weiting Hong

Finance Research Letters, 2022, vol. 50, issue C

Abstract: I provide new evidence on the value-relevance of international trade development, the heterogeneous distribution of foreign economic benefits among market participants, and the value-add of additional geographic information disclosure by designing the Trade Momentum Index with publicly available citation share, export volume, and trade barrier data. Using a sample of 13,016 firm-year combinations of goods-exporting U.S. firms between 2008 and 2020, I find that a Trade Momentum Index-based, equal-weight hedge portfolio generates a statistically significant annualized alpha of 17.42% at a Sharpe ratio of 0.8255. This result exhibits robustness as the abnormal returns persist under different factor models.

Keywords: Asset pricing; Forecasting returns; International trade; Investment decisions; Market inefficiency; Portfolio choice (search for similar items in EconPapers)
JEL-codes: F14 G11 G12 G14 G15 G17 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612322004834
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004834

DOI: 10.1016/j.frl.2022.103300

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().