Adam ZarembaMehmet UmutluAndreas KarathanasopoulosKarathanasopoulos, AndreasZaremba, AdamUmutlu, Mehmet2025-10-0620201068-08962168-861310.3905/joi.2020.1.1202-s2.0-85088511304http://dx.doi.org/10.3905/joi.2020.1.120https://gcris.yasar.edu.tr/handle/123456789/7469https://doi.org/10.3905/joi.2020.1.120The 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.Englishinfo:eu-repo/semantics/closedAccessRETURNS, RISK, COUNTRY, EQUILIBRIUM, DISPOSITION, UNCERTAINTY, STRATEGIES, PROFITS, LONGArticle