Risk factor and industry effects in the cross-country comovement of momentum returns

Andy Naranjo and Burt Porter

Journal of International Money and Finance, 2010, vol. 29, issue 2, 275-299

Abstract: This paper examines the sources of cross-country comovement of momentum returns over the 1975-2004 period. Using data on more than 17,000 individual firms across 100 industries from 40 countries, we document the profitability of country-neutral individual firm, industry, and industry-adjusted return momentum. We show that country-neutral momentum returns are significantly correlated across countries, the correlation is time-varying, and that comovement among industries cannot explain the comovement of country-neutral momentum returns. However, we find that standard risk factor models do explain a significant portion of the cross-country comovement of momentum returns, even though they do not explain average momentum returns.

Keywords: International; return; momentum; Comovement; Asset; pricing; Risk; factors; Industry; effects; Integration (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:29:y:2010:i:2:p:275-299

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