TY - JOUR T1 - Opposites Attract: <em>Combining Alpha Momentum and Alpha Reversal in International Equity Markets</em> JF - The Journal of Investing SP - 38 LP - 62 DO - 10.3905/joi.2020.1.120 VL - 29 IS - 3 AU - Adam Zaremba AU - Mehmet Umutlu AU - Andreas Karathanasopoulos Y1 - 2020/03/31 UR - https://pm-research.com/content/29/3/38.abstract N2 - 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• The article offers a new integrated framework to combine alpha momentum and alpha reversal into a superior investment strategy for international stock markets.• Mixing both effects into a single blended alpha signal forms a stronger country and industry selection method.• The abnormal returns are economically significant and robust to alternative weighting schemes, different alpha models, and controlling for popular return predictive variables. ER -