Momentum in non-US markets

The first to examine the momentum effect in international markets was Rouwenhorst (1998). The author uses individual stock return data from 12 European markets for the 1978–1995 period and finds evidence that momentum returns are not just a U.S. phenomenon. Rouwenhorst (1998) documents that a zero-cost, long-short strategy of buying winners (best performing decile) and shorting losers (worst performing decile) based on past return generates a

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return of about 1% per month over a 6-month holding period. This evidence of momentum over the intermediate term (12 months) is present in all 12 European markets, and the results hold across size deciles although momentum appears stronger for small firms. Furthermore, the momentum returns are not fully explained by standard risk models. In a follow up study, Rouwenhorst (1999) examines momentum in 20 emerging markets and again finds evidence of momentum strategies being profitable.

Since the work of Rouwenhorst, more recent studies have documented momentum in other markets, including Schiereck, DeBondt and Weber (1999), Griffin, Ji, and Martin (2003), Marshall and Cahan (2005), and Hart, Zwart and van Dijk (2005).

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