International Momentum Strategies
K. Geert Rouwenhorst
Yale School of Management - International Center for Finance
Yale ICF Working Paper
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.
Number of Pages in PDF File: 32
JEL Classification: G12, G15
Date posted: October 23, 1996 ; Last revised: February 22, 2008