Adam ZarembaMehmet UmutluAndreas S. Karathanasopoulos2025-10-062019092753980927-539810.1016/j.jempfin.2019.07.003https://www.scopus.com/inward/record.uri?eid=2-s2.0-85069438337&doi=10.1016%2Fj.jempfin.2019.07.003&partnerID=40&md5=7768cde5e24f8bc59dfe00d1f2c0f613https://gcris.yasar.edu.tr/handle/123456789/9382Do 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. © 2019 Elsevier B.V. All rights reserved.EnglishAlpha Momentum, Alpha Reversal, Asset Pricing, Country Momentum, Country Reversal, Equity Anomalies, Industry Momentum, Industry Reversal, International Investment, The Cross-section Of Returns Return PredictabilityArticle