Macromomentum: Returns Predictability in International Equity Indices

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An Institutional Theory of Momentum and Reversal (2013, unknown): “This evidence has been extended to stocks in other countries (Fama and French 1998, Rouwenhorst 1998), industry-level portfolios (Grinblatt and Moskowitz 1999), country indices (Asness, Liew, and Stevens 1997, Bhojraj and Swaminathan 2006), bonds (Asness, Moskowitz and Pedersen 2008), currencies (Bh”
A Trade-based Analysis of Momentum (2006, unknown): “, Chan, Jegadeesh, and Lakonishok (1996), Fama and French (1996), Fama (1998), Rouwenhorst (1998), Jegadeesh and Titman (2001), Grundy and Martin (2001), Griffin, Ji, and Martin (2003), Grinblatt and Moskowitz (2004), and Bhojraj and Swaminathan (2004).”
Time Series Momentum (2012, background): “…1994), other equity markets (Rouwenhorst, 1998), industries (Moskowitz and Grinblatt, 1999), equity indexes (Asness, Liew, and Stevens, 1997; Bhojraj and Swaminathan, 2006), currencies (Shleifer and Summers, 1990), commodities (Erb and Harvey, 2006; Gorton, Hayashi, and Rouwenhorst, 2008),…”
Is momentum really momentum (2012, background): “For more on momentum in other markets see, for example, Moskowitz and Grinblatt (1999) and Asness, Porter and Stevens (2000) (industries), Lewellen (2002) and Chen and De Bondt (2004) (style), Asness, Liew, and Stevens (1997), Bhojraj and Swaminathan (2006) and Asness, Moskowitz and Pedersen (2008) ”