The Momentum Effect in Country-Level Stock Market Anomalies

Economic Research, 2018, 31(1), 703-721

20 Pages Posted: 13 Feb 2019

See all articles by Adam Zaremba

Adam Zaremba

Montpellier Business School; Poznan University of Economics and Business; University of Cape Town

Date Written: March 9, 2018


The aim of this paper is to investigate the momentum effect in country-level anomalies in global equity markets. By using a sample of 78 countries for the period from 1995 to 2015, we test a set of potential 40 cross-sectional inter-market anomalies, some of which had never been examined before. 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. Furthermore, the study shows that returns on individual country-level strategies are weakly correlated. Consequently, developing a portfolio consisting of past top-performing strategies may constitute a valuable approach for international investors.

Keywords: country-level patterns; equity anomalies, factor investing; international diversification; momentum; returns predictability

JEL Classification: G11, G12, G14, G15

Suggested Citation

Zaremba, Adam, The Momentum Effect in Country-Level Stock Market Anomalies (March 9, 2018). Economic Research, 2018, 31(1), 703-721, Available at SSRN: or

Adam Zaremba (Contact Author)

Montpellier Business School ( email )

2300 Avenue des Moulins
Montpellier, Occitanie 34000


Poznan University of Economics and Business ( email )

al. Niepodległości 10
Poznań, 61-875

University of Cape Town

Cape Town
South Africa

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