Time series momentum

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Time series momentum

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dc.contributor.author Moskowitz, Tobias J.
dc.contributor.author Ooi, Yao Hua
dc.contributor.author Heje Pedersen, Lasse
dc.date.accessioned 2014-01-03T09:44:22Z
dc.date.available 2014-01-03T09:44:22Z
dc.date.issued 2014-01-03
dc.identifier.issn 0304-405X
dc.identifier.uri http://hdl.handle.net/10398/8862
dc.identifier.uri http://dx.doi.org/10.1016/j.jfineco.2011.11.003
dc.description.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. en_US
dc.format.extent 23 en_US
dc.language eng en_US
dc.publisher Elsevier en_US
dc.relation.ispartofseries Journal of Financial Economics;104, p. 228-250
dc.title Time series momentum en_US
dc.type art en_US
dc.contributor.corporation Copenhagen Business School. CBS en_US
dc.contributor.department Institut for Finansiering en_US
dc.contributor.departmentshort FI en_US
dc.contributor.departmentuk Department of Finance en_US
dc.contributor.departmentukshort FI en_US
dc.publisher.city Amsterdam en_US
dc.publisher.year 2012 en_US


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