Referenz
Bartel, M., & Stöckl, S. (2022). Factor Chasing and the Cross-Country Factor Momentum Anomaly. Presented at the 3rd Financial Economics Meeting, Paris, France.
Publikationsart
Präsentation auf wissenschaftlicher Konferenz
Abstract
We provide evidence that factor momentum, the tendency of winning factors to outperform losing factors out-of-sample is driven by international crosscountry effects. A strategy that buys a factor in winning countries and sells it in losing countries yields highly significant and economically meaningful returns and alphas. The anomaly we name ”Cross-Country Factor Momentum” subsumes all national factor momentum returns, including US factor momentum.
Mitarbeiter
Einrichtungen
- Lehrstuhl für Finance