Skip to main content
SpringerLink
Log in

Momentum Effect Across Countries

  • Chapter
  • First Online:
Country Asset Allocation

Abstract

As the momentum effect is a stock market tendency of assets with good past performance to continue to overperform in the future, the authors show the momentum effect to arise also across countries, and particularly within equally weighted portfolios. Zaremba and Shemer form equally weighted and capitalization-weighted portfolios based on the data from 78 countries for the years 1995–2015 and investigate various types of momentum, standard momentum, intermediate momentum, moving averages, time-series momentum (absolute momentum), and technical analysis.

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

Log in via an institution
Chapter
USD 29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD 64.99
Price excludes VAT (USA)
  • Available as EPUB and PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD 84.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info
Hardcover Book
USD 129.00
Price excludes VAT (USA)
  • Durable hardcover edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Institutional subscriptions

References

  • Andreu, L., Swinkels, L., & Tjong-A-Tjoe, L. (2013). Can exchange traded funds be used to exploit industry and country momentum? Financial Markets and Portfolio Management, 27(2), 127–148.

    Article  Google Scholar 

  • Asness, C. S., Liew, J. M., & Stevens, R. L. (1997). Parallels between the cross-sectional predictability of stock and country returns. Journal of Portfolio Management, 6, 79–86.

    Article  Google Scholar 

  • Asness, C. S., Moskowitz, T. J., & Pedersen, L. H. (2013). Value and momentum everywhere. Journal of Finance, 68(3), 929–985.

    Article  Google Scholar 

  • Avramov, D., Chordia, T., & Goyal, A. (2006). Liquidity and autocorrelations in individual stock returns. Journal of Finance, 61, 2365–2394.

    Article  Google Scholar 

  • Balvers, R. J., & Wu, Y. (2006). Momentum and mean reversion across national equity markets. Journal of Empirical Finance, 13, 24–48.

    Article  Google Scholar 

  • Barberis, N., Shleifer, A., & Vishny, R. (1998). A model of investor sentiment. Journal of Financial Economics, 49, 307–343.

    Article  Google Scholar 

  • Berk, J. B., Green, R. C., & Naik, V. (1999). Optimal investment, growth options and security returns. Journal of Finance, 54, 1153–1607.

    Article  Google Scholar 

  • Bhojraj, S., & Swaminathan, B. (2006). Macromomentum: Returns predictability in international equity indices. Journal of Business, 79(1), 429–451.

    Article  Google Scholar 

  • Black, F. (1986). Noise. Journal of Finance, 41, 529–543.

    Article  Google Scholar 

  • Brav, A., & Heaton, J. B. (2002). Competing theories of financial anomalies. Review of Financial Studies, 15, 575–606.

    Article  Google Scholar 

  • Campbell, J. Y., Grossman, S. J., & Wang, J. (1993). Trading volume and serial correlation in stock returns. Quarterly Journal of Economics, 108, 905–939.

    Article  Google Scholar 

  • Chabot, B., Ghysels, E., & Jagannathan, R. (2014). Momentum trading, return chasing, and predictable crashes. Federal Reserve Bank of Chicago Working Paper 2014-27. NBER Working Paper No. 20660. Retrieved November 17, 2015, from http://www.nber.org/papers/w20660

  • Conrad, J., Cooper, M., & Kaul, G. (2003). Value versus glamour. Journal of Finance, 58, 1969–1995.

    Article  Google Scholar 

  • Conrad, J., Kaul, G., & Nimalendran, M. (1991). Components of short-horizon individual security returns. Journal of Financial Economics, 29, 365–384.

    Article  Google Scholar 

  • Daniel, K., Hirshleifer, D., & Subrahmanyam, A. (1998). A theory of overconfidence, selfattribution, and security market under- and over-reactions. Journal of Finance, 53, 1839–1885.

    Article  Google Scholar 

  • Daniel, K. D., & Moskowitz, T. J. (2013). Momentum crashes. Swiss Finance Institute Research Paper No. 13-61; Columbia Business School Research Paper No. 14-6; Fama-Miller Working Paper. Retrieved November 17, 2015, from SSRN: http://ssrn.com/abstract=2371227 or http://dx.doi.org/10.2139/ssrn.2371227

  • DeBondt, W. F. M., & Thaler, R. (1985). Does the stock market overreact? Journal of Finance , 40(3), 793–805.

    Google Scholar 

  • Evans, A., & Schmitz, C. (2015). Value, size and momentum on equity indices - A likely example of selection bias. WINTON Global Investment Management working paper. Retrieved November 11, 2015, from https://www.wintoncapital.com/assets/documents/research-papers/ValueSizeMomentumonEquityIndices2015-09-07.pdf

  • Geczy, C., & Samonov, M. (2015). 215 Years of global multi-asset momentum: 1800-2014 (equities, sectors, currencies, bonds, commodities and stocks). Retrieved October 20, 2015, from SSRN: http://ssrn.com/abstract=2607730 or http://dx.doi.org/10.2139/ssrn.2607730

  • George, T. J., & Hwang, C.-Y. (2004). The 52-week high and momentum investing. Journal of Finance, 59, 2145–2176.

    Article  Google Scholar 

  • Georgopoulou, A., & Wang, G. J. (2015). The trend is your friend: Time-series momentum strategies across equity and commodity markets. Retrieved November 11, 2015, from SSRN: http://ssrn.com/abstract=2618243

  • Grobys, K. (2016). Another look at momentum crashes: Momentum in the European monetary union. Applied Economics , 48(19), 1759–1766.

    Google Scholar 

  • Grossman, S., & Miller, M. H. (1988). Liquidity and market structure. Journal of Finance, 43, 617–633.

    Article  Google Scholar 

  • Guilmin, G. (2015). The effective combination of risk-based strategies with momentum and trend following. Retrieved October 11, 2015, from SSRN: http://ssrn.com/abstract=2556747 or http://dx.doi.org/10.2139/ssrn.2556747

  • Heidari, M. (2015). Momentum crash management. Retrieved November 17, 2015, from SSRN: http://ssrn.com/abstract=2578296 or http://dx.doi.org/10.2139/ssrn.2578296

  • Hong, H., & Stein, J. (1999). A unified theory of underreaction, momentum trading, and overreaction in asset markets. Journal of Finance, 54(6), 2143–2184.

    Article  Google Scholar 

  • Jacobs, H. (2015). What explains the dynamics of 100 anomalies? Journal of Banking & Finance , 57, 65–86.

    Google Scholar 

  • Jegadeesh, N. (1990). Evidence of predictable behavior of security returns. Journal of Finance, 45, 881–898.

    Article  Google Scholar 

  • Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. Journal of Finance, 48, 65–91.

    Article  Google Scholar 

  • Jegadeesh, N., & Titman, S. (2001). Profitability of momentum strategies: An evaluation of alternative explanations. Journal of Finance, 56(2), 599–720.

    Article  Google Scholar 

  • Kaniel, R., Saar, G., & Titman, S. (2008). Individual investor trading and stock returns. Journal of Finance, 63, 273–310.

    Article  Google Scholar 

  • Klein, P. (1999). The capital gains lock-in effect and equilibrium returns. Journal of Public Economics, 71, 355–378.

    Article  Google Scholar 

  • Lehmann, B. N. (1990). Fads, martingales and market efficiency. Quartarly Journal of Economics, 105, 1–28.

    Article  Google Scholar 

  • Lewellen, J., & Shanken, J. (2002). Learning, asset-pricing tests, and market efficiency. Journal of Finance, 57, 1113–1145.

    Article  Google Scholar 

  • Malin, M., & Bornholt, G. (2013). Long-term return reversal: Evidence from international market indices. Journal of International Financial Markets, Institutions and Money, 25, 1–17.

    Article  Google Scholar 

  • McLean, R. D. (2010). Idiosyncratic risk, long term resersal, and momentum. Journal of Financial and Quantitative Analysis, 45, 883–906.

    Article  Google Scholar 

  • Muller, C., & Ward, M. (2010). Momentum effects in country equity indices. Journal for Studies in Economics and Econometrics, 34(1), 111–127.

    Google Scholar 

  • Novy-Marx, R. (2012a). Is momentum really momentum? Journal of Financial Economics, 103, 429–453.

    Google Scholar 

  • Pastor, L., & Stambaugh, R. F. (2003). Liquidity risk and expected stock returns. Journal of Political Economy, 111(3), 642–685.

    Article  Google Scholar 

  • Richards, A. J. (1997). Winner-loser reversals in national stock market indices: Can they be explained? Journal of Finance, 52, 2129–2144.

    Article  Google Scholar 

  • Shiller, R. J. (1984). Stock prices and social dynamics. Brooking Papers on Economic Activity, 2, 457–498.

    Article  Google Scholar 

  • Stiglitz, J. E. (1989). Using tax policy to curb speculative trading. Journal of Financial Services, 3, 101–115.

    Article  Google Scholar 

  • Subrahmanyam, A. (2005). Distinguishing between rationales for short-horizon predictability of stock returns. Financial Review, 40, 11–35.

    Article  Google Scholar 

  • Summers, L. H., & Summers, V. P. (1989). When financial markets work too well: A cautious case for a securities transactions tax. Journal of Financial Services, 3, 261–286.

    Article  Google Scholar 

  • Vu, J. D. (2012). Do momentum strategies generate profits in emerging stock markets? Problems and Perspectives in Management, 10(3), 2012.

    Google Scholar 

  • Wu, Y., & Li, Y. (2010). Long-term return reversals: Value and growth or tax? UK Evidence. Journal of International Financial Markets, Institutions and Money, 21(3), 347–368.

    Article  Google Scholar 

  • Zaremba, A. (2015a). Investor sentiment, limits on arbitrage, and the performance of cross-country market anomalies. Working paper. Retrieved February 21, 2016, from http://adamzaremba.pl/data/uploads/wps.pdf

  • Zaremba, A. (2015b). Country selection strategies based on value, size and momentum. Investment Analyst Journal, 44(3), 171–198.

    Google Scholar 

Download references

Author information

Authors and Affiliations

  1. Poznan University of Economics and Business, Poznan, Poland

    Adam Zaremba

  2. AlphaBeta, Tel Aviv, Israel

    Jacob Shemer

Authors
  1. Adam Zaremba
    View author publications

    You can also search for this author in PubMed Google Scholar

  2. Jacob Shemer
    View author publications

    You can also search for this author in PubMed Google Scholar

Copyright information

© 2017 The Author(s)

About this chapter

Cite this chapter

Zaremba, A., Shemer, J. (2017). Momentum Effect Across Countries. In: Country Asset Allocation. Palgrave Macmillan, New York. https://doi.org/10.1057/978-1-137-59191-3_10

Download citation

  • DOI: https://doi.org/10.1057/978-1-137-59191-3_10

  • Published:

  • Publisher Name: Palgrave Macmillan, New York

  • Print ISBN: 978-1-137-59190-6

  • Online ISBN: 978-1-137-59191-3

  • eBook Packages: Economics and FinanceEconomics and Finance (R0)

Publish with us

Policies and ethics

Search

Navigation