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International Momentum Strategies
Author(s) -
Rouwenhorst K. Geert
Publication year - 1998
Publication title -
the journal of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 18.151
H-Index - 299
eISSN - 1540-6261
pISSN - 0022-1082
DOI - 10.1111/0022-1082.95722
Subject(s) - medium term , continuation , portfolio , momentum (technical analysis) , profitability index , equity (law) , financial economics , economics , risk–return spectrum , term (time) , sample (material) , business , finance , physics , political science , computer science , quantum mechanics , programming language , thermodynamics , law , macroeconomics
International equity markets exhibit medium‐term return continuation. Between 1980 and 1995 an internationally diversified portfolio of past medium‐term Winners outperforms a portfolio of medium‐term Losers after correcting for risk by more than 1 percent per month. Return continuation is present in all twelve sample countries and lasts on average for about one year. Return continuation is negatively related to firm size, but is not limited to small firms. The international momentum returns are correlated with those of the United States which suggests that exposure to a common factor may drive the profitability of momentum strategies.