Short-term momentum (almost) everywhere

Adam Zaremba (), Huaigang Long and Andreas Karathanasopoulos

Journal of International Financial Markets, Institutions and Money, 2019, vol. 63, issue C

Abstract: Is there a short-term reversal effect outside the universe of individual stocks? To answer this, we investigate a comprehensive dataset of more than two centuries of returns on five major asset classes: equity indices, government bonds, treasury bills, commodities, and currencies. Contrary to stock-level evidence, we find a striking short-term momentum pattern: the most recent month’s return positively predicts future performance. The effect is not explained by established return predictors—including the standard momentum—and is robust to many considerations. The short-term momentum is strongest among assets of high idiosyncratic volatility and in periods of elevated return dispersion. Also, the strategy payoffs display partial commonality across different asset classes.

Keywords: Short-term momentum; Short-term reversal; Early asset prices; Long-term historical returns; Equity indices; Government bonds; Treasury bills; Currency; Commodities (search for similar items in EconPapers)
JEL-codes: G10 G11 G12 G14 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:63:y:2019:i:c:s1042443119300976

DOI: 10.1016/j.intfin.2019.101140

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