Alpha momentum and alpha reversal in country and industry equity indexes
(2019)
Journal Article
Zaremba, A., Umutlu, M., & Karathanasopoulos, A. (2019). Alpha momentum and alpha reversal in country and industry equity indexes. Journal of Empirical Finance, 53, 144-161. https://doi.org/10.1016/j.jempfin.2019.07.003
Do past alphas predict future country and industry returns? Examination of equity indexes from 51 stock markets between 1973 and 2018 allows us to demonstrate new return patterns in the cross-section of country and industry returns. Past short-term (... Read More about Alpha momentum and alpha reversal in country and industry equity indexes.