International equity markets exhibit medium-term return continuation.
Between 1980 and 1995 an internationally diversified portfolio of past
medium-term Winners outperforms a portfolio of medium-term Losers aft
er correcting for risk by more than 1 percent per month. Return contin
uation is present in all twelve sample countries and lasts on average
for about one year. Return continuation is negatively related to firm
size, but is not limited to small firms. The international momentum re
turns are correlated with those of the United States which suggests th
at exposure to a common factor may drive the profitability of momentum
strategies.