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Global Integration, Culture and Cross-Market Factor Momentum

Year: 2025

Type: article

Abstract: We construct a global factor momentum strategy by employing market-weighted factors of 15 developed stock exchanges. The global strategy is economically sizable and statistically significant and has consistent performance (1) considering the transaction costs (2) in different formation and holding periods. Furthermore, the strategy outperforms the U.S. one, and we find the improvement stems from (1) diversification and (2) herd-like overreaction in markets with less individualistic cultures. This paper echoes how cultural differences influence the returns of factor momentum in the opposite direction to stock-level momentum.

Source: Emerging Markets Finance and Trade

DOI: 10.1080/1540496x.2025.2465450

Authors: Tian Ma, Yuejie Wang

Institutions: Minzu University of China, Central University of Finance and Economics

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W4408247359

FWCI:

Cites: 42

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Related to: 10