The Arabo-Mediterranean momentum strategies

Abstract

This paper documents strong evidence for the robust profitability of the momentum strategies inter and intra five Arabo-Mediterranean stocks’ markets. Between 1998 and 2007 we find that the related stocks’ returns exhibit a strong continuation pattern during a period of about one year. Even after controlling for the country effect, the neutral-country momentum strategies still yield significantly positive payoffs of about 1.88 percent per month. Nevertheless and although the paper gives evidences that the market and the SMB factors account for the profitability of neutral-country momentum strategies’ payoffs, still some significant parts of the excess returns persist puzzling to the conventional asset pricing models.