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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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2020
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| Subjects: | |
| 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 |
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| Institution: | Singapore Management University |
| Language: | English |