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Time-series momentum in nearly 100 years of stock returns

Bryan Y. Lim, Wang, Jiaguo (George) and Yaqiong Yao

Journal of Banking & Finance, 2018, vol. 97, issue C, 283-296

Abstract: We document strong time-series momentum effects in individual stocks in the US markets from 1927 to 2017. Time-series momentum is not specific to sub-periods, firm sizes, formation- and holding-period lengths, or geographic markets. The effects persist after controlling for standard risk factors. Time-series momentum effects are conditional on the market state, the information discreteness of the constituent stocks and investor sentiment. We propose two alternative implementations, revised time-series momentum and dual momentum, which generate even higher profits than standard time-series momentum.

Keywords: Time-series stock momentum; Return predictability; Market efficiency (search for similar items in EconPapers)
JEL-codes: G11 G12 (search for similar items in EconPapers)
Date: 2018
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Handle: RePEc:eee:jbfina:v:97:y:2018:i:c:p:283-296