Trend factors around the world: Performance and determinants

IF 4 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance Pub Date : 2025-12-01 Epub Date: 2025-10-10 DOI:10.1016/j.jbankfin.2025.107552

Yufeng Han , Xi Nancy Mo , Jian Yang

引用次数: 0

Abstract

This study investigates the performance of trend factors across different markets around the world and demonstrates that the trend factors perform well across most of developed markets and many emerging markets, outperforming the market portfolio, short-term reversal, momentum, and long-term reversal. We further examine how cultural and legal differences influence the performance of the trend factor trading strategy and find it is more profitable in countries where the individualism is higher and securities laws are better enforced. Finally, the global trend factor aggregating individual market trend factors performs well and explains various global portfolios’ returns. The findings suggest that the trend factors present a challenge to traditional risk-based asset pricing theories, and trend factor trading strategies may deserve more attention in international portfolio management.

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全球趋势因素：表现和决定因素

本研究调查了趋势因素在全球不同市场中的表现，并证明趋势因素在大多数发达市场和许多新兴市场中表现良好，表现优于市场组合、短期反转、动量和长期反转。我们进一步研究了文化和法律差异如何影响趋势因素交易策略的表现，并发现在个人主义较高且证券法执行较好的国家，趋势因素交易策略更有利可图。最后，汇总各个市场趋势因子的全球趋势因子表现良好，并解释了各种全球投资组合的回报。研究结果表明，趋势因素对传统的基于风险的资产定价理论提出了挑战，趋势因素交易策略在国际投资组合管理中值得关注。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Banking & Finance Multiple-

CiteScore

6.40

自引率

5.40%

发文量

262

期刊介绍： The Journal of Banking and Finance (JBF) publishes theoretical and empirical research papers spanning all the major research fields in finance and banking. The aim of the Journal of Banking and Finance is to provide an outlet for the increasing flow of scholarly research concerning financial institutions and the money and capital markets within which they function. The Journal''s emphasis is on theoretical developments and their implementation, empirical, applied, and policy-oriented research in banking and other domestic and international financial institutions and markets. The Journal''s purpose is to improve communications between, and within, the academic and other research communities and policymakers and operational decision makers at financial institutions - private and public, national and international, and their regulators. The Journal is one of the largest Finance journals, with approximately 1500 new submissions per year, mainly in the following areas: Asset Management; Asset Pricing; Banking (Efficiency, Regulation, Risk Management, Solvency); Behavioural Finance; Capital Structure; Corporate Finance; Corporate Governance; Derivative Pricing and Hedging; Distribution Forecasting with Financial Applications; Entrepreneurial Finance; Empirical Finance; Financial Economics; Financial Markets (Alternative, Bonds, Currency, Commodity, Derivatives, Equity, Energy, Real Estate); FinTech; Fund Management; General Equilibrium Models; High-Frequency Trading; Intermediation; International Finance; Hedge Funds; Investments; Liquidity; Market Efficiency; Market Microstructure; Mergers and Acquisitions; Networks; Performance Analysis; Political Risk; Portfolio Optimization; Regulation of Financial Markets and Institutions; Risk Management and Analysis; Systemic Risk; Term Structure Models; Venture Capital.