Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
964779 | Journal of International Money and Finance | 2010 | 25 Pages |
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.
Related Topics
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Authors
Andy Naranjo, Burt Porter,