Factor Chasing and the Cross-Country Factor Momentum Anomaly

Abstract

We provide evidence that factor momentum, the tendency of winning factors to outperform losing factors out-of-sample is driven by international cross-country effects. A strategy that buys a factor in winning countries and sells it in losing countries yields highly significant and economically meaningful returns and alphas. The anomaly we name ‘Cross-Country Factor Momentum’ subsumes all national factor momentum returns, including US factor momentum.

Sebastian Stöckl

Assistant Professor in Financial Economics (tenure-track)

My research interests include Financial and Economic Uncertainty as well as Empirical Asset Pricing.