Adam ZarembaMehmet UmutluAndreas KarathanasopoulosKarathanasopoulos, AndreasZaremba, AdamUmutlu, Mehmet2025-10-0620190927-53981879-172710.1016/j.jempfin.2019.07.0032-s2.0-85069438337http://dx.doi.org/10.1016/j.jempfin.2019.07.003https://gcris.yasar.edu.tr/handle/123456789/7291https://doi.org/10.1016/j.jempfin.2019.07.003Do 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.Englishinfo:eu-repo/semantics/closedAccessAlpha momentum, Alpha reversal, International investment, Country momentum, Country reversal, Industry momentum, Industry reversal, Asset pricing, The cross-section of returns return predictability, Equity anomaliesIDIOSYNCRATIC VOLATILITY, INFORMATION UNCERTAINTY, EXPECTED RETURNS, MARKET, RISK, STRATEGIES, ARBITRAGE, EQUILIBRIUM, LIMITSInternational InvestmentAlpha MomentumIndustry MomentumCountry ReversalCountry MomentumEquity AnomaliesThe Cross-Section of Returns Return PredictabilityAlpha ReversalIndustry ReversalAsset PricingArticle