Are There Fences in the Global Factor Zoo?
Regional and global factor momentum signals outperform local factors in forecasting risk premiums and revitalize momentum investing in less-integrated markets like Japan.
2024-04-01
Factor Chasing and the Cross-Country Factor Momentum Anomaly
We document a cross-country factor momentum anomaly, which we term 'Factor Chasing'. Specialized style mutual funds chase factor returns across countries, but their trades are delayed, leading to positive returns that are not spanned by leading factor models.
2024-01-01