Time-series momentum in individual stocks: is it there and where to look?

Jiali Fang, Wei Hao and Udomsak Wongchoti

Applied Economics, 2022, vol. 54, issue 18, 2048-2066

Abstract: Time series momentum (TSMOM), which is found in various asset classes, offers investors several practical advantages over traditional cross-sectional momentum. However, recent studies raise questions about its general existence and urge researchers to extensively search for optimal combinations in time horizon, asset characteristics, and market conditions in which TSMOM may be profitable. With a comprehensive study covering 2.25 million monthly returns on over 20,000 US individual stocks from 1986 to 2017, we find that TSMOM profits are more prominent among stocks and during market states characterized by inferior information dissemination.

Date: 2022
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2021.1983151 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:applec:v:54:y:2022:i:18:p:2048-2066

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036846.2021.1983151

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().