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Separating Momentum from Reversal in International Stock Markets

Walkshäusl, Christian ; Weißofner, Florian ; Wessels, Ulrich



Abstract

Taking into account expected return characteristics like firm size and book-to-market in the selection of winners and losers helps to ex ante separate stocks with momentum from those that exhibit reversal in international equity markets. A strategy that buys small value winners and sells large growth losers generates significantly larger momentum profits than a standard momentum strategy, is ...

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