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- W2021077531 abstract "This paper examines the sources of cross-country comovement of momentum returns over the 1975–2004 period. Using data on more than 17,000 individual firms across 100 industries from 40 countries, we document the profitability of country-neutral individual firm, industry, and industry-adjusted return momentum. We show that country-neutral momentum returns are significantly correlated across countries, the correlation is time-varying, and that comovement among industries cannot explain the comovement of country-neutral momentum returns. However, we find that standard risk factor models do explain a significant portion of the cross-country comovement of momentum returns, even though they do not explain average momentum returns." @default.
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- W2021077531 date "2010-03-01" @default.
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- W2021077531 title "Risk factor and industry effects in the cross-country comovement of momentum returns" @default.
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- W2021077531 doi "https://doi.org/10.1016/j.jimonfin.2009.06.007" @default.
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