Is there momentum in factor premia? Evidence from international equity markets

Adam Zaremba () and Jacob Shemer

Research in International Business and Finance, 2018, vol. 46, issue C, 120-130

Abstract: This study examines the momentum effect in the returns of factor premia representing a broad set of stock market strategies. Using cross-sectional and time-series tests, we investigate the performance persistence of market, value, size, momentum, low-risk, and quality premia within a sample of 24 international equity markets for the years 1990–2016. We provide strong evidence that the top performing factors continue to outperform the worst performing factors both in individual equity markets and in the cross-country framework. The momentum in factor premia is largely explained by the classic stock-level momentum effect.

Keywords: Momentum; Factor premium; Asset pricing; Value; Size; Quality; Low-volatility; Style momentum; Performance persistence; International equity markets; Market efficiency; Return predictability (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 G15 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:46:y:2018:i:c:p:120-130

DOI: 10.1016/j.ribaf.2017.12.002

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