International Momentum Strategies

32 Pages Posted: 23 Oct 1996 Last revised: 22 Feb 2008

K. Geert Rouwenhorst

Yale School of Management - International Center for Finance

Multiple version iconThere are 2 versions of this paper

Date Written: February 1997

Abstract

International equity markets exhibit short-term return continuation. Between 1980 and 1995 an internationally diversified portfolio of past short-term winners outperformed a portfolio of short-term losers by more than one percent per month, after correcting for risk. Return continuation is present in all twelve sample countries and lasts for about one year. Return continuation is negatively related to firm size but is not limited to small firms. The international evidence is remarkably similar to findings for the U.S. by Jegadeesh and Titman (1993) and makes it unlikely that the U.S. experience was simply due to chance. Because momentum strategies are relatively easy to implement, the results pose a challenge to our understanding of how information is incorporated into prices or, alternatively, how markets set expected returns.

JEL Classification: G12, G15

Suggested Citation

Rouwenhorst, K. Geert, International Momentum Strategies (February 1997). Yale ICF Working Paper. Available at SSRN: https://ssrn.com/abstract=4407 or http://dx.doi.org/10.2139/ssrn.4407

K. Geert Rouwenhorst (Contact Author)

Yale School of Management - International Center for Finance ( email )

165 Whitney Avenue
P.O. Box 208200
New Haven, CT 06520-8200
United States
203-432-6046 (Phone)
203-432-8931 (Fax)

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