Cross-Country Factor Momentum

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Authors
Fieberg, Christian
Metko, Daniel
Zaremba, Adam
Date
2024-01-15
Journal Title
Journal ISSN
Volume Title
Publisher
Elsevier
License
Creative Commons License
Creative Commons Attribution 4.0 International License
Abstract
We study a new class of the momentum effect: cross-country factor momentum. We document a persistent international pattern: factors in winning countries consistently outperform those in losing countries. The effect holds across most anomalies and is robust to many considerations.
Description
Keywords
factor momentum  equity anomalies  return predictability  factor timing  international stock markets
Citation
Fieberg, C., Metko, D., & Zaremba, A. (2024). Cross-country factor momentum. Economics Letters, 235, 111552.
URI
https://open.icm.edu.pl/handle/123456789/24901
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