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• W3164595368 abstract "Investors often focus on recent information only, underestimating the relevance of data from the distant past. In consequence, the ordering of historical returns reliably predicts future stock performance in the cross-section. Using data from 49 countries, we comprehensively examine this anomaly within international markets. The average return differential between the high and low deciles of global stocks sorted on chronological return ordering equals 0.91% per month. The effect is distinctly robust among the biggest companies but exhibits substantial international heterogeneity. The mispricing prevails in countries characterized by high individualism and shareholder protection. Furthermore, it is concentrated following down markets and periods of excessive volatility." @default.
• W3164595368 created "2021-06-07" @default.
• W3164595368 creator A5003712411 @default.
• W3164595368 creator A5026554747 @default.
• W3164595368 date "2021-01-01" @default.
• W3164595368 modified "2023-10-17" @default.
• W3164595368 title "Chronological Return Ordering and the Cross-Section of International Stock Returns" @default.
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