Long-term time series reversal: International evidence

Sonja Kobinger, Graham Bornholt and Mirela Malin

Journal of International Financial Markets, Institutions and Money, 2020, vol. 65, issue C

Abstract: This paper is the first to examine the predictability of equity returns from extreme long-term past performances using a time-series approach. It builds on findings on the short-term ‘time-series momentum’ effect. The analysis is done at the individual time-series level as well as at the portfolio level. Average returns following extreme low long-term performances significantly exceed those following extreme high long-term performances for approximately half of the MSCI developed country indices, and for the country-average. Strategies exploiting the long-term ‘time-series reversal’ (TSR) effect provide superior risk-adjusted returns.

Keywords: Return reversal; Asset pricing; Trading strategies; Time-series momentum (search for similar items in EconPapers)
JEL-codes: G11 G12 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 (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:65:y:2020:i:c:s104244312030069x

DOI: 10.1016/j.intfin.2020.101185

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