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- W2961506688 abstract "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 (long-term) alphas positively (negatively) predict future returns. These phenomena can be translated into effective international equity allocation strategies, producing economically and statistically significant raw and risk-adjusted returns. The profitability is robust to many considerations, including alternative alpha models, the role of trading costs, different holding periods, or subsample analyses. Furthermore, the alpha momentum subsumes its return-based counterpart." @default.
- W2961506688 created "2019-07-23" @default.
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- W2961506688 date "2019-09-01" @default.
- W2961506688 modified "2023-09-27" @default.
- W2961506688 title "Alpha momentum and alpha reversal in country and industry equity indexes" @default.
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- W2961506688 doi "https://doi.org/10.1016/j.jempfin.2019.07.003" @default.
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