Can exchange traded funds be used to exploit industry and country momentum?

Andreu, Laura; Swinkels, Laurens; Tjong-A-Tjoe, Liam

doi:10.1007/s11408-013-0207-8

Cited by 28 publications

(18 citation statements)

References 23 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The use of different return intervals is rather infrequent and usually limited to examinations of alternative holding periods, as in Andreu et al (2013) or Kasa (1992). On the other hand, Vu (2012) is one of the very few studies that relies on weekly returns to amass a bigger quantity of observations.…”

Section: Return Measurement Periodsmentioning

confidence: 99%

“…Dobrynskaya (2015), Clare et al (2016), Keppler and Encinosa (2011), or Smith and Pantilei (2015) may serve as examples of papers that denominate all the prices in U.S. dollars. This currency is also a default choice in the studies that utilize futures or ETFs as representation of the country exposure, as it directly expresses the perspective of a U.S. investor (e.g., Andreu et al 2013;Daniel and Moskowitz 2016;Smith and Pantilei 2015).…”

Section: Currency Unitmentioning

confidence: 99%

“…In terms of the sample length, several studies extended the time-series back to the 19th century and researched approximately 200 years of returns (Geczy and Samonov 2017;Hurst et al 2017;Baltussen et al 2019a). The momentum effect is robust to many considerations and could be successfully implemented with the use of ETFs (Andreu et al 2013). Angelidis and Tessaromatis (2018) argue that "country-based factor portfolios offer a viable alternative implementation of factor investing in a world of illiquidity, transaction costs, and capacity constraints."…”

Section: Momentummentioning

confidence: 99%

“…The seminal study of Jegadeesh and Titman (1993) considered 3-12-month-long sorting and holding periods. Numerous country-level studies, including the early ones, take a similar approach (e.g., Balvers and Wu 2006;Andreu et al 2013). Later studies frequently used the approach advertised by Fama and French (1996), i.e., 1-month holding period and 12-month sorting period with the most recent month skipped (e.g., Dobrynskaya 2015;Blitz and van Vliet 2008;Asness et al 2013).…”

Section: Momentummentioning

confidence: 99%

“…Nonetheless, several studies document that when implemented with the use of ETFs, the most prominent country allocation strategies may remain profitable. Andreu et al (2013) examine the momentum effect in single-country ETFs. They find that investors are potentially able to exploit the country momentum strategies with an excess return of about 5% per year.…”

Section: Further Investment Considerationsmentioning

confidence: 99%

See 4 more Smart Citations

The Cross Section of Country Equity Returns: A Review of Empirical Literature

Zaremba

2019

JRFM

View full text Add to dashboard Cite

The last three decades brought mounting evidence regarding the cross-sectional predictability of country equity returns. The studies not only documented country-level counterparts of well-established stock-level anomalies, such as size, value, or momentum, but also demonstrated some unique return-predicting signals such as fund flows or political regimes. Nonetheless, the different studies vary remarkably in terms of their dataset and methods employed. This study aims to provide a comprehensive review of the current literature on the cross-section of country equity returns. We focus on three particular aspects of the asset pricing literature. First, we study the choice of dataset and sample preparation methods. Second, we survey different aspects of the methodological approaches. Last but not least, we review the country-level equity anomalies discovered so far. The discussed cross-sectional return patterns not only provide new insights into international asset pricing but can also be potentially translated into effective country allocation strategies.

show abstract

Section: Return Measurement Periodsmentioning

confidence: 99%