type="main" xml:id="acfi12009-abs-0001" <title type="main">Abstract</title> <p>This paper examines the sources of momentum profits of countries exhibiting and not exhibiting momentum and compares the differences in the underlying factors determining momentum profits between these two groups of countries. We find remarkable...</p>

type="main" xml:id="acfi12017-abs-0001" <title type="main">Abstract</title> <p>Cross-region and cross-sector asset allocation decisions are one of the most fundamental issues in international equity portfolio management. Equity returns exhibit higher volatilities and correlations, and lower expected returns, in bear markets...</p>

type="main" xml:id="acfi12021-abs-0001" xml:lang="en" <title type="main">Abstract</title> <p>This paper analyzes the role of default risk in the momentum effect focusing on data from four developed European stock markets (France, Germany, Spain and the United Kingdom). Using a market-based measure of default risk, we show...</p>

type="main" xml:id="acfi12016-abs-0001" <title type="main">Abstract</title> <p>We investigate the claims of superiority of fundamental indexation strategy over capitalisation-weighted indexation using data for Australian Securities Exchange listed stocks. While our results are in line with the outperformance observed in...</p>