Predictability of short-horizon returns in international equity markets

Adler, 1983, International portfolio choices and corporation finance: a synthesis, Journal of Finance, 38, 925, 10.2307/2328091 Balvers, R., Wu, Y., 2002. Momentum and mean reversion across national equity markets. mimeo, Rutgers University. Balvers, 2000, Mean reversion across national stock markets and parametric contrarian investment strategies, Journal of Finance, 55, 745, 10.1111/0022-1082.00225 Bhojraj, S., Swaminathan, B., 2001. Macromomentum: evidence of predictability in international equity markets. mimeo. Cornell University. Campbell, 1997 Chan, 1996, Momentum strategies, Journal of Finance, 51, 1681, 10.2307/2329534 Chan, 2000, Profitability of momentum strategies in the international equity markets, Journal of Financial and Quantitative Analysis, 35, 153, 10.2307/2676188 Conrad, 1988, Time-variation in expected returns, Journal of Business, 61, 409, 10.1086/296441 Conrad, 1989, Mean reversion in short-horizon in expected returns, Review of Financial Studies, 2, 225, 10.1093/rfs/2.2.225 Conrad, 1998, An anatomy of trading strategies, Review of Financial Studies, 11, 489, 10.1093/rfs/11.3.489 Cochrane, 1988, How big is the random walk in GNP?, Journal of Political Economy, 96, 893, 10.1086/261569 DeBondt, 1985, Does the stock market overreact?, Journal of Finance, 40, 793, 10.2307/2327804 DeBondt, 1987, Further evidence on investor overreaction and stock market seasonality, Journal of Finance, 42, 557, 10.2307/2328371 Fama, 1996, Multifactor explanations of asset pricing anomalies, Journal of Finance, 51, 55, 10.2307/2329302 French, 1986, Stock return variances: the arrival of information and the reaction of traders, Journal of Financial Economics, 17, 5, 10.1016/0304-405X(86)90004-8 Griffin, 2003, Momentum investing and business cycle risk: evidence from pole to pole, Journal of Finance, 58, 2515, 10.1046/j.1540-6261.2003.00614.x Grundy, 2001, Understanding the nature of the risks and the source of the rewards to momentum investing, Review of Financial Studies, 14, 29, 10.1093/rfs/14.1.29 Hong, 1999, A unified theory of underreaction, momentum trading, and the overreaction in asset markets, Journal of Finance, 54, 2143, 10.1111/0022-1082.00184 Jegadeesh, 1993, Returns to buying winners and selling losers: implications for stock market efficiency, Journal of Finance, 48, 65, 10.2307/2328882 Kim, 1991, Mean reversion in stock prices? A reappraisal of the empirical evidence, Review of Economic Studies, 58, 515, 10.2307/2298009 Lo, 1988, Stock market prices do not follow random walks: evidence from a simple specification test, Review of Financial Studies, 1, 41, 10.1093/rfs/1.1.41 Lo, 1989, The size and power of the variance ratio tests in finite samples?, Journal of Econometrics, 40, 203, 10.1016/0304-4076(89)90083-3 Lo, 1990, When are contrarian profits due to stock market overreaction?, Review of Financial Studies, 3, 175, 10.1093/rfs/3.2.175 Moskowitz, 1999, Do industries explain momentum?, Journal of Finance, 54, 1249, 10.1111/0022-1082.00146 Poterba, 1988, Mean reversion in stock prices: evidence and implications, Journal of Financial Economics, 22, 27, 10.1016/0304-405X(88)90021-9 Qi, 2003, Nonlinear prediction of exchange rates with monetary fundamentals, Journal of Empirical Finance, 10, 623, 10.1016/S0927-5398(03)00008-2 Richards, 1997, Winner–loser reversals in national stock market indices: can they be explained?, Journal of Finance, 52, 2129, 10.2307/2329478 Rouwenhorst, 1998, International momentum strategies, Journal of Finance, 53, 267, 10.1111/0022-1082.95722 Stulz, 1995, International portfolio choice and asset pricing: an integrative survey, 201