Recency Bias and the Cross-Section of International Stock Returns

61 Pages Posted: 1 May 2021 Last revised: 28 Nov 2022

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 on recent information only, underestimating the relevance of data from the distant past. In consequence, the ordering of historical returns reliably predicts future stock performance in the cross-section. Using data from 49 countries, we comprehensively examine this anomaly within international markets. The average return differential between the high and low deciles of global stocks sorted on chronological return ordering equals 0.91% per month. The effect is distinctly robust among the biggest companies but exhibits substantial international heterogeneity. The mispricing prevails in countries characterized by high individualism and shareholder protection. Furthermore, down markets and periods of excessive volatility boost the abnormal returns.

Keywords: chronological return ordering, recency bias, behavioral finance, the cross-section of stock returns, asset pricing, return predictability, international markets

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 )

113 West 60th Street
New York, NY 10023
United States
2017473227 (Phone)
07446 (Fax)

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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