EconPapers    
Economics at your fingertips  
 

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
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378426618302346
Full text for ScienceDirect subscribers only

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:eee:jbfina:v:97:y:2018:i:c:p:283-296

Access Statistics for this article

Journal of Banking & Finance is currently edited by Ike Mathur

More articles in Journal of Banking & Finance from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-01-19
Handle: RePEc:eee:jbfina:v:97:y:2018:i:c:p:283-296