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Revisiting the Time Series Momentum Anomaly

Yonghwan Jo () and Jihee Kim ()
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Yonghwan Jo: Advanced Institute of Finance and Economics, Liaoning University
Jihee Kim: College of Business, Korea Advanced Institute of Science and Technology (KAIST)

Annals of Economics and Finance, 2019, vol. 20, issue 2, 767-782

Abstract: In this study, we re-examine the time series momentum anomaly to address several issues raised in a previous study. We first find that there is a significant and economically meaningful time series momentum anomaly regardless of the volatility scaling method. We also show that the anomaly exists even after considering the characteristics of diversified futures markets and more factors. Lastly, we show that the time series momentum anomaly is still present until recent years.

Keywords: Asset pricing; Time series momentum; Volatility scaling; Futures pricing; International financial markets (search for similar items in EconPapers)
JEL-codes: G12 F30 F38 Q02 (search for similar items in EconPapers)
Date: 2019
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