International Research Journal of Applied Finance, Vol. 6, December 2015
11 Pages Posted: 13 Jul 2017
Date Written: December 15, 2015
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: 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