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Separating momentum from reversal in international stock markets

  • Christian WalkshäuslEmail author
  • Florian Weißofner
  • Ulrich Wessels
Original Article
  • 2 Downloads

Abstract

Taking into account expected return characteristics like firm size and book-to-market in the selection of winners and losers helps to ex ante separate stocks with momentum from those that exhibit reversal in international equity markets. A strategy that buys small value winners and sells large growth losers generates significantly larger momentum profits than a standard momentum strategy, is robust to common return controls, and does not suffer from return reversals for holding periods up to 3 years. The superior performance of the strategy is attributable to a rather systematic exploitation of cross-sectional mispricing among momentum stocks.

Keywords

Momentum Reversal Return predictability Mispricing International markets 

Notes

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Copyright information

© Springer Nature Limited 2019

Authors and Affiliations

  1. 1.Center of FinanceUniversity of RegensburgRegensburgGermany

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