Momentum and mean reversion across national equity markets

  title={Momentum and mean reversion across national equity markets},
  author={Ronald J. Balvers and Yangru Wu},
  journal={Journal of Empirical Finance},
Abstract Numerous studies have separately identified mean reversion and momentum. This paper considers these effects jointly. Our empirical model assumes that only global equity price index shocks can have permanent components. This is motivated in a production-based asset pricing context, given that production levels converge across developed countries. Combination momentum-contrarian strategies, used to select from among 18 developed equity markets at a monthly frequency, outperform both pure… 
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