Global Integration, Culture and Cross-Market Factor Momentum

We construct a global factor momentum strategy by employing market-weighted factors of 15 developed stock exchanges. The global strategy is economically sizable and statistically significant and has consistent performance (1) considering the transaction costs (2) in different formation and holding periods. Furthermore, the strategy outperforms the U.S. one, and we find the improvement stems from (1) diversification and (2) herd-like overreaction in markets with less individualistic cultures. This paper echoes how cultural differences influence the returns of factor momentum in the opposite direction to stock-level momentum.