Recency Bias and the Cross-Section of International Stock Returns

52 Pages Posted: 1 May 2021 Last revised: 29 Jun 2021

See all articles by Nusret Cakici

Nusret Cakici

Fordham University

Adam Zaremba

Montpellier Business School; Poznan University of Economics and Business

Date Written: April 23, 2021


Investors often focus their attention on recent information only, underestimating the relevance of information from the distant past. In consequence, the ordering of historical returns robustly predicts future stock performance in the cross-section. Using data from 49 countries, we comprehensively examine this anomaly within international markets. A value-weighted spread portfolio of global stocks that is formed on chronological return ordering earns 0.91% per month. The effect is distinctly robust and prevails among the biggest and most liquid companies. The mispricing is particularly strong in countries that are characterized by high individualism and shareholder protection. Furthermore, the return predictability is concentrated following down markets and periods of excessive volatility.

Keywords: chronological return ordering, recency bias, behavioral finance, the cross-section of stock returns, asset pricing, return predictability, international markets; individualism, shareholder protection, market crashes

JEL Classification: G11, G12, G14, G15

Suggested Citation

Cakici, Nusret and Zaremba, Adam, Recency Bias and the Cross-Section of International Stock Returns (April 23, 2021). Available at SSRN: or

Nusret Cakici

Fordham University ( email )

Fordham University
Graduate School of Business
New York, NY 10023
United States
2126366776 (Phone)

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


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