Time series momentum: Is it there?

Dashan Huang, Jiangyuan Li, Liyao Wang and Guofu Zhou

Journal of Financial Economics, 2020, vol. 135, issue 3, 774-794

Abstract: 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 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 nonparametric 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.

Keywords: Time series momentum; Risk premium; Return predictability; Pooled regression (search for similar items in EconPapers)
JEL-codes: F37 G12 G14 G15 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (48)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jfinec:v:135:y:2020:i:3:p:774-794

DOI: 10.1016/j.jfineco.2019.08.004

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