The Momentum Effect in Country-Level Stock Market Anomalies
“Based on the findings, according to which half of these return patterns serve as reliable and robust sources of returns, we provide convincing evidence that the anomalies with good performance over the past 6-12 months tend to outperform in the future.”
AssetEquities
StrategyMomentum
GeographyGlobal
Sample window1995–2015
Also stated: Excess return
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodMomentum and trend following by year
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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