Time-series momentum: Is it there?

• Main Authors: HUANG, Dashan, LI, Jiangyuan, WANG, Liyao, ZHOU, Guofu
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2020
• Subjects: Time-series momentum; Risk premium; Return predictability; Pooled regression; Finance; Finance and Financial Management
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/6521; https://ink.library.smu.edu.sg/context/lkcsb_research/article/7520/viewcontent/Time_series_momentum_JFE_sv.pdf
• Institution: Singapore Management University

Time-series momentum (TSM) refers to the predictability of the past 12-month return on the next one-month return, and is the focus of several recent influential studies. This paper shows, however, that asset-by-asset time-series regressions reveal little evidence of TSM, both in- and out-of-sample....