Is there Momentum in Factor Premia? Evidence from International Equity Markets

Research in International Business and Finance (2018) Volume 46 Pages 120-130

22 Pages Posted: 1 Mar 2019

See all articles by Adam Zaremba

Adam Zaremba

Montpellier Business School; Poznan University of Economics and Business

Koby Shemer

AlphaBeta

Date Written: November 3, 2017

Abstract

This study examines the momentum effect in the returns of factor premia representing a broad set of stock market strategies. Using cross-sectional and time-series tests, we investigate the performance persistence of market, value, size, momentum, low-risk, and quality premia within a sample of 24 international equity markets for the years 1990–2016. We provide strong evidence that the top performing factors continue to outperform the worst performing factors both in individual equity markets and in the cross-country framework. The momentum in factor premia is largely explained by the classic stock-level momentum effect.

Keywords: momentum, factor premium, asset pricing, value, size, quality, low-volatility, style momentum, performance persistence, international equity markets, market efficiency, return predictability

JEL Classification: G11, G12, G14, G15

Suggested Citation

Zaremba, Adam and Shemer, Jacob, Is there Momentum in Factor Premia? Evidence from International Equity Markets (November 3, 2017). Research in International Business and Finance (2018) Volume 46 Pages 120-130, Available at SSRN: https://ssrn.com/abstract=3332927 or http://dx.doi.org/10.2139/ssrn.3332927

Adam Zaremba (Contact Author)

Montpellier Business School ( email )

2300 Avenue des Moulins
Montpellier, Occitanie 34000
France

Poznan University of Economics and Business ( email )

al. Niepodległości 10
Poznań, 61-875
Poland

HOME PAGE: http://adamzaremba.pl

Jacob Shemer

AlphaBeta ( email )

21 Nisim Aloni 3301
Tel Aviv, 66545
Israel

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