Time-series momentum: Is it there?
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....
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sg-smu-ink.lkcsb_research-75202020-04-16T01:19:37Z Time-series momentum: Is it there? HUANG, Dashan LI, Jiangyuan WANG, Liyao ZHOU, Guofu 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. While the t-statistic in a pooled regression appears large, it is not statistically reliable as it is less than the critical values of parametric and non-parametric bootstraps. From an investment perspective, the TSM strategy is profitable, but its performance is virtually the same as that of a similar strategy that is based on historical sample mean and does not require predictability. Overall, the evidence on TSM is weak, particularly for the large cross section of assets. 2020-03-01T08:00:00Z text application/pdf https://ink.library.smu.edu.sg/lkcsb_research/6521 info:doi/10.1016/j.jfineco.2019.08.004 https://ink.library.smu.edu.sg/context/lkcsb_research/article/7520/viewcontent/Time_series_momentum_JFE_sv.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University Time-series momentum Risk premium Return predictability Pooled regression Finance Finance and Financial Management |
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Time-series momentum Risk premium Return predictability Pooled regression Finance Finance and Financial Management HUANG, Dashan LI, Jiangyuan WANG, Liyao ZHOU, Guofu Time-series momentum: Is it there? |
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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. While the t-statistic in a pooled regression appears large, it is not statistically reliable as it is less than the critical values of parametric and non-parametric bootstraps. From an investment perspective, the TSM strategy is profitable, but its performance is virtually the same as that of a similar strategy that is based on historical sample mean and does not require predictability. Overall, the evidence on TSM is weak, particularly for the large cross section of assets. |
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HUANG, Dashan LI, Jiangyuan WANG, Liyao ZHOU, Guofu |
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HUANG, Dashan LI, Jiangyuan WANG, Liyao ZHOU, Guofu |
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HUANG, Dashan |
title |
Time-series momentum: Is it there? |
title_short |
Time-series momentum: Is it there? |
title_full |
Time-series momentum: Is it there? |
title_fullStr |
Time-series momentum: Is it there? |
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Time-series momentum: Is it there? |
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time-series momentum: is it there? |
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Institutional Knowledge at Singapore Management University |
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2020 |
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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 |
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