Time series momentum

Tobias J. Moskowitz, Yao Hua Ooi and Lasse Pedersen

Journal of Financial Economics, 2012, vol. 104, issue 2, 228-250

Abstract: We document significant “time series momentum” in equity index, currency, commodity, and bond futures for each of the 58 liquid instruments we consider. We find persistence in returns for one to 12 months that partially reverses over longer horizons, consistent with sentiment theories of initial under-reaction and delayed over-reaction. A diversified portfolio of time series momentum strategies across all asset classes delivers substantial abnormal returns with little exposure to standard asset pricing factors and performs best during extreme markets. Examining the trading activities of speculators and hedgers, we find that speculators profit from time series momentum at the expense of hedgers.

Keywords: Asset pricing; Trading volume; Futures pricing; International financial markets; Market efficiency (search for similar items in EconPapers)
JEL-codes: F37 G12 G13 G15 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (471)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304405X11002613
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:jfinec:v:104:y:2012:i:2:p:228-250

DOI: 10.1016/j.jfineco.2011.11.003

Access Statistics for this article

Journal of Financial Economics is currently edited by G. William Schwert

More articles in Journal of Financial Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().