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Is Momentum Really Momentum? International Evidence

Qiang Gong, Ming Liu () and Qianqiu Liu ()
Additional contact information
Ming Liu: International University of Japan, http://www.iuj.ac.jp/
Qianqiu Liu: University of Hawaii, http://fei.shidler.hawaii.edu/

No EMS_2011_22, Working Papers from Research Institute, International University of Japan

Abstract: Novy-Marx (2010) finds that momentum is primarily driven by stock performance twelve to seven months prior to portfolio formation in the US market. We examine whether this finding holds in international stock markets. In particular, we investigate whether intermediate horizon past performance is more dominant than 52-week high momentum strategy and recent past performance with individual stock data in international markets. Our results indicate that the intermediate past, recent past, and the 52-week high momentum effects are prevalent in international markets. The intermediate horizon past performance during the last twelve to seven months dominates in most of the markets studied. The 52-week high momentum and the recent past performance during the last six to two months are highly correlated. However, they are not as important as stock performance during the last twelve to seven months.

Keywords: Momentum; 52-week High; International Stock Markets (search for similar items in EconPapers)
JEL-codes: G15 G12 G14 (search for similar items in EconPapers)
Pages: 33 pages
Date: 2011-10
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https://www.iuj.ac.jp/workingpapers/index.cfm?File=EMS_2011_22.pdf First version, 2011 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:iuj:wpaper:ems_2011_22

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