@article {Zaremba38, author = {Adam Zaremba and Mehmet Umutlu and Andreas Karathanasopoulos}, title = {Opposites Attract: Combining Alpha Momentum and Alpha Reversal in International Equity Markets}, volume = {29}, number = {3}, pages = {38--62}, year = {2020}, doi = {10.3905/joi.2020.1.120}, publisher = {Institutional Investor Journals Umbrella}, abstract = {The 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.TOPICS: Statistical methods, factor-based modelsKey Findings{\textbullet} The article offers a new integrated framework to combine alpha momentum and alpha reversal into a superior investment strategy for international stock markets.{\textbullet} Mixing both effects into a single blended alpha signal forms a stronger country and industry selection method.{\textbullet} The abnormal returns are economically significant and robust to alternative weighting schemes, different alpha models, and controlling for popular return predictive variables.}, issn = {1068-0896}, URL = {https://joi.pm-research.com/content/29/3/38}, eprint = {https://joi.pm-research.com/content/29/3/38.full.pdf}, journal = {The Journal of Investing} }