Browsing by Author "Karathanasopoulos, Andreas"

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Citation - WoS: 13
Citation - Scopus: 13
Alpha momentum and alpha reversal in country and industry equity indexes
(ELSEVIER, 2019) Adam Zaremba; Mehmet Umutlu; Andreas Karathanasopoulos; Karathanasopoulos, Andreas; Zaremba, Adam; Umutlu, Mehmet
Do past alphas predict future country and industry returns? Examination of equity indexes from 51 stock markets between 1973 and 2018 allows us to demonstrate new return patterns in the cross-section of country and industry returns. Past short-term (long-term) alphas positively (negatively) predict future returns. These phenomena can be translated into effective international equity allocation strategies producing economically and statistically significant raw and risk-adjusted returns. The profitability is robust to many considerations including alternative alpha models the role of trading costs different holding periods or subsample analyses. Furthermore the alpha momentum subsumes its return-based counterpart.
Opposites Attract: Combining Alpha Momentum and Alpha Reversal in International Equity Markets
(PAGEANT MEDIA LTD, 2020) Adam Zaremba; Mehmet Umutlu; Andreas Karathanasopoulos; Karathanasopoulos, Andreas; Zaremba, Adam; Umutlu, Mehmet
The authors offer a new integrated framework to combine alpha momentum and alpha reversal into a superior investment strategy for international equity markets. Mixing both effects into a single blended alpha signal forms a stronger country and industry selection method. An equal-weighted strategy that simultaneously goes long the indexes with the highest short-term and the lowest long-term alphas and shorts the ones with the lowest short-term and highest long-term alphas yields monthly three factor model alphas of 1.16% and 1.44% for countries and industries respectively. The results are robust to alternative weighting schemes the effect of trading costs alternative alpha models and controlling for popular return predictive variables.