We demonstrate the estimation biases that arise when stock returns from 12month prior and 2month prior are included within intermediate and recent past momentum profits. These biases lead to an overestimation of intermediate past momentum but an underestimation of recent past momentum in the US...

Novy-Marx (2010) finds that momentum is primarily driven by stock performance twelve to seven months prior to portfolio formation in the US market. We examine whether this finding holds in international stock markets. In particular, we investigate whether intermediate horizon past performance is...