Adam ZarembaMehmet UmutluAndreas S. Karathanasopoulos2025-10-06202010680896, 216886131068-08962168-861310.3905/joi.2020.1.120https://www.scopus.com/inward/record.uri?eid=2-s2.0-85088511304&doi=10.3905%2Fjoi.2020.1.120&partnerID=40&md5=5b40a823fbc4eeef5e2a7bf7ebf1f713https://gcris.yasar.edu.tr/handle/123456789/9224The 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. © 2020 Elsevier B.V. All rights reserved.EnglishArticle