Is Momentum Really Momentum? International Evidence
Qiang Gong Ming Liu Qianqiu Liu
Novy-Marx (2010) finds that momentum is primarily driven by stock performance twelve to seven months prior to portfolio formation in the US market. We examine whether this finding holds in international stock markets. In particular, we investigate whether intermediate horizon past performance is more dominant than 52-week high momentum strategy and recent past performance with individual stock data in international markets. Our results indicate that the intermediate past, recent past, and the 52-week high momentum effects are prevalent in international markets. The intermediate horizon past performance during the last twelve to seven months dominates in most of the markets studied. The 52-week high momentum and the recent past performance during the last six to two months are highly correlated. However, they are not as important as stock performance during the last twelve to seven months.