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 market. There is no significant difference between the … construction of momentum strategies in the US and each of the 26 major international markets …

We analyze a novel alpha momentum strategy that invests in stocks based on three-factor alphas which we estimate using … cross-section of stock returns; (ii) alpha momentum exhibits less dynamic factor exposures than price momentum and (iii …) alpha momentum dominates price momentum only in the U.S. Connecting both strategies to behavioral explanations, alpha …