Macromomentum: Evidence of Predictability in International Equity Markets

44 Pages Posted: 19 Jul 2001

See all articles by Sanjeev Bhojraj

Sanjeev Bhojraj

Cornell University - Samuel Curtis Johnson Graduate School of Management

Bhaskaran Swaminathan

LSV Asset Management

Date Written: June 2001

Abstract

This study examines momentum and reversals in portfolios of international stock indices. The results indicate strong momentum up to a year following the portfolio formation date and significant reversals in the subsequent two years. While momentum is driven mostly by predictability within equity markets, reversals are at least partly due to a continuing decline in stock prices in response to past currency appreciation. These patterns seem to be related to misreaction to news about macroeconomic conditions, not corporate earnings. Overall, our results demonstrate the pervasiveness of momentum and reversals and provide support for behavioral theories.

Keywords: Macromomentum, international equity markets, predictability

Suggested Citation

Bhojraj, Sanjeev and Swaminathan, Bhaskaran, Macromomentum: Evidence of Predictability in International Equity Markets (June 2001). Available at SSRN: https://ssrn.com/abstract=273569 or http://dx.doi.org/10.2139/ssrn.273569

Sanjeev Bhojraj

Cornell University - Samuel Curtis Johnson Graduate School of Management ( email )

Department of Accounting
Ithaca, NY 14853
United States
607-255-4069 (Phone)
607-254-4590 (Fax)

Bhaskaran Swaminathan (Contact Author)

LSV Asset Management ( email )

155 North Wacker Drive
Chicago, IL 60606
United States

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