International Momentum Strategies


  • K. Geert Rouwenhorst

    1. Yale School of Management
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    • The author is at the Yale School of Management. I thank Ray Ball, Jennifer Conrad, Eugene Fama, Narasimhan Jegadeesh, Ken French, N. Prabhala, Jake Thomas, Roberto Wessels, seminar participants at Erasmus Universiteit Rotterdam, Katholieke Universiteit Leuven, the University of North Carolina, the University of Pennsylvania, Rene Stulz (the editor), and an anonymous referee for their comments, and ARCAS-Wessels Roll Ross for kindly providing the data. I acknowledge support from a Fred Frank Grant.


International equity markets exhibit medium-term return continuation. Between 1980 and 1995 an internationally diversified portfolio of past medium-term Winners outperforms a portfolio of medium-term Losers after correcting for risk by more than 1 percent per month. Return continuation is present in all twelve sample countries and lasts on average for about one year. Return continuation is negatively related to firm size, but is not limited to small firms. The international momentum returns are correlated with those of the United States which suggests that exposure to a common factor may drive the profitability of momentum strategies.