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 (tenured)

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