Strategies in International Equity Markets: The Long and the Short of It

International Research Journal of Applied Finance, Vol. 6, December 2015

11 Pages Posted: 13 Jul 2017  

Sorin A. Tuluca

Fairleigh-Dickinson University - Silberman College of Business

Alan Fask

Fairleigh-Dickinson University - Silberman College of Business

Date Written: December 15, 2015

Abstract

This study investigates costless international momentum and reversal strategies for an extended interval (one of the longest in the published research) running from January 1970 to June 2008. Sixteen developed national equity market indexes, excluding the US market, are used in the investigation. Factor analysis reveals three common factors governing the returns of the sixteen markets. The research finds several interesting results. First, short-term momentum strategies are not profitable after 1997. Second, momentum strategies are not robust when executed with the indexes’ residuals, perhaps because one of the factors generating the returns is itself a momentum factor. Third, long-term reversal strategies are more numerous than momentum strategies in all the periods and sub-periods considered and are also resilient when applied to indexes’ residuals, possibly because of a long term reversal of returns to the mean.

Keywords: Stock Markets, Momentum Strategies, Reversal Strategies

JEL Classification: G11, G15

Suggested Citation

Tuluca, Sorin A. and Fask, Alan, Strategies in International Equity Markets: The Long and the Short of It (December 15, 2015). International Research Journal of Applied Finance, Vol. 6, December 2015 . Available at SSRN: https://ssrn.com/abstract=2998453

Sorin A. Tuluca (Contact Author)

Fairleigh-Dickinson University - Silberman College of Business ( email )

Madison, NJ 07940
United States
(973) 443-8995 (Phone)
(973) 443-8377 (Fax)

HOME PAGE: http://view2.fdu.edu/faculty-staff-profile-pages/sorin_tuluca/

Alan Fask

Fairleigh-Dickinson University - Silberman College of Business

Madison, NJ 07940
United States

Paper statistics

Downloads
26
Abstract Views
225