Common Patterns of Predictability in the Cross-Section of International Stock Returns
31 Pages Posted: 20 Mar 2007
Date Written: March 12, 2007
This paper studies the performance of international stock strategies based on historical returns. Stocks that outperform the local market in a particular month continue to outperform the local market in future years in that same calendar month. This effect lasts for 10 years and the same pattern appears in Canada, Japan, and twelve European countries. This return pattern is independent of country, currency effects, and market capitalization. These strategies are not highly correlated across countries; this indicates they do not reflect pervasive international risk. Instead this common seasonal structure in international stocks suggests countries share similar segmented return mechanisms.
JEL Classification: G12, G15
Suggested Citation: Suggested Citation