Less pain more gain: Volatility-adjusted residual momentum in international equity markets
| dc.contributor.author | Adam Zaremba | |
| dc.contributor.author | Mehmet Umutlu | |
| dc.contributor.author | Alina Maydybura | |
| dc.contributor.author | Maydybura, Alina | |
| dc.contributor.author | Zaremba, Adam | |
| dc.contributor.author | Umutlu, Mehmet | |
| dc.date.accessioned | 2025-10-06T17:51:47Z | |
| dc.date.issued | 2018 | |
| dc.description.abstract | We offer a new type of momentum strategy — the volatility-adjusted residual momentum (VARMOM) — which is based on average past residuals scaled with their volatility. We demonstrate its application for international asset allocation within 51 country indexes and 888 industry portfolios from developed and emerging markets. The VARMOM trading strategy notably outperforms and subsumes a standard momentum strategy delivering Sharpe ratios that are two to three times higher. The VARMOM is particularly strong across portfolios characterised by high limits to arbitrage and following bull markets supporting the behavioural explanation of momentum. The results are robust to alternative portfolio construction methods as well as the inclusion of trading costs and control variables. They are also valid for several subperiods and subsamples. © 2018 Elsevier B.V. All rights reserved. | |
| dc.description.sponsorship | National Science Centre of Poland | |
| dc.description.sponsorship | National Science Centre of Poland [2014/15/D/HS4/01235] | |
| dc.description.sponsorship | We thank the participants of the 7th Scientific Conference ‘Modelling and forecasting national economy’ at the University of Gdansk (Poland, 2017) and the participants the Dubai Business School Research Seminar (UAE, 2017) for helpful comments that benefited the paper. This study is part of Project No. 2014/15/D/HS4/01235 financed by the National Science Centre of Poland. Correspondence concerning this article should be addressed to Adam Zaremba, Department of Investment and Capital Markets, Poznan University of Economics and Business, al. Niepodleglosci 10, 61-875 Poznan, Poland, e-mail: adam.zaremba@ue.poznan.pl | |
| dc.identifier.doi | 10.1080/10293523.2018.1469290 | |
| dc.identifier.issn | 10293523, 20770227 | |
| dc.identifier.issn | 1029-3523 | |
| dc.identifier.issn | 2077-0227 | |
| dc.identifier.scopus | 2-s2.0-85050915515 | |
| dc.identifier.uri | https://www.scopus.com/inward/record.uri?eid=2-s2.0-85050915515&doi=10.1080%2F10293523.2018.1469290&partnerID=40&md5=3f817a099518323415a4c3f3c3e07cde | |
| dc.identifier.uri | https://gcris.yasar.edu.tr/handle/123456789/9624 | |
| dc.identifier.uri | https://doi.org/10.1080/10293523.2018.1469290 | |
| dc.language.iso | English | |
| dc.publisher | Taylor and Francis Ltd. michael.wagreich@univie.ac.at | |
| dc.relation.ispartof | Investment Analysts Journal | |
| dc.rights | info:eu-repo/semantics/closedAccess | |
| dc.source | Investment Analysts Journal | |
| dc.subject | Asset Pricing, Country Momentum, Cross Section Of Returns, Equity Anomalies, Industry Momentum, International Investment, Residual Momentum, Return Predictability, Varmom, Volatility-adjusted Momentum | |
| dc.subject | International Investment | |
| dc.subject | Residual Momentum | |
| dc.subject | Industry Momentum | |
| dc.subject | Country Momentum | |
| dc.subject | Equity Anomalies | |
| dc.subject | Return Predictability | |
| dc.subject | Cross Section of Returns | |
| dc.subject | Volatility-Adjusted Momentum | |
| dc.subject | VARMOM | |
| dc.subject | Asset Pricing | |
| dc.title | Less pain more gain: Volatility-adjusted residual momentum in international equity markets | |
| dc.type | Article | |
| dspace.entity.type | Publication | |
| gdc.author.id | Zaremba, Adam/0000-0001-5879-9431 | |
| gdc.author.id | Umutlu, Mehmet/0000-0003-1353-2922 | |
| gdc.author.scopusid | 26535275600 | |
| gdc.author.scopusid | 37121242800 | |
| gdc.author.scopusid | 57202252335 | |
| gdc.author.wosid | Zaremba, Adam/C-9298-2016 | |
| gdc.author.wosid | Umutlu, Mehmet/IWM-3632-2023 | |
| gdc.bip.impulseclass | C4 | |
| gdc.bip.influenceclass | C5 | |
| gdc.bip.popularityclass | C5 | |
| gdc.coar.type | text::journal::journal article | |
| gdc.collaboration.industrial | false | |
| gdc.description.department | ||
| gdc.description.departmenttemp | [Zaremba, Adam] Poznan Univ Econ & Business, Dept Investment & Capital Markets, Poznan, Poland; [Umutlu, Mehmet] Yasar Univ, Dept Int Trade & Finance, Izmir, Turkey; [Zaremba, Adam; Maydybura, Alina] Univ Dubai, Dubai Business Sch, Dubai, U Arab Emirates | |
| gdc.description.endpage | 191 | |
| gdc.description.issue | 2 | |
| gdc.description.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | |
| gdc.description.startpage | 165 | |
| gdc.description.volume | 47 | |
| gdc.description.woscitationindex | Social Science Citation Index | |
| gdc.identifier.openalex | W2806256394 | |
| gdc.identifier.wos | WOS:000437346300006 | |
| gdc.index.type | Scopus | |
| gdc.index.type | WoS | |
| gdc.oaire.diamondjournal | false | |
| gdc.oaire.impulse | 10.0 | |
| gdc.oaire.influence | 2.6113591E-9 | |
| gdc.oaire.isgreen | true | |
| gdc.oaire.popularity | 3.2678114E-9 | |
| gdc.oaire.publicfunded | false | |
| gdc.oaire.sciencefields | 0502 economics and business | |
| gdc.oaire.sciencefields | 05 social sciences | |
| gdc.openalex.collaboration | International | |
| gdc.openalex.fwci | 4.1867 | |
| gdc.openalex.normalizedpercentile | 0.94 | |
| gdc.openalex.toppercent | TOP 10% | |
| gdc.opencitations.count | 10 | |
| gdc.plumx.crossrefcites | 2 | |
| gdc.plumx.facebookshareslikecount | 16 | |
| gdc.plumx.mendeley | 30 | |
| gdc.plumx.scopuscites | 10 | |
| gdc.scopus.citedcount | 10 | |
| gdc.virtual.author | Umutlu, Mehmet | |
| gdc.wos.citedcount | 8 | |
| oaire.citation.endPage | 191 | |
| oaire.citation.startPage | 165 | |
| person.identifier.scopus-author-id | Zaremba- Adam (37121242800), Umutlu- Mehmet (26535275600), Maydybura- Alina (57202252335) | |
| project.funder.name | We thank the participants of the 7th Scientific Conference ‘Modelling and forecasting national economy’ at the University of Gdansk (Poland 2017) and the participants the Dubai Business School Research Seminar (UAE 2017) for helpful comments that benefited the paper. This study is part of Project No. 2014/15/D/HS4/01235 financed by the National Science Centre of Poland. Correspondence concerning this article should be addressed to Adam Zaremba Department of Investment and Capital Markets Poznan University of Economics and Business al. Niepodleglosci 10 61-875 Poznan Poland e-mail: adam.zaremba@ue.poznan.pl | |
| publicationissue.issueNumber | 2 | |
| publicationvolume.volumeNumber | 47 | |
| relation.isAuthorOfPublication | b9c31598-7dc1-45e4-8413-84069df93ea0 | |
| relation.isAuthorOfPublication.latestForDiscovery | b9c31598-7dc1-45e4-8413-84069df93ea0 | |
| relation.isOrgUnitOfPublication | ac5ddece-c76d-476d-ab30-e4d3029dee37 | |
| relation.isOrgUnitOfPublication.latestForDiscovery | ac5ddece-c76d-476d-ab30-e4d3029dee37 |