Time Series Momentum

Tobias J. Moskowitz, Yao Hua Ooi, Lasse Heje Pedersen

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Abstrakt

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.
OriginalsprogEngelsk
TidsskriftJournal of Financial Economics
Vol/bind104
Udgave nummer2
Sider (fra-til)228-250
Antal sider23
ISSN0304-405X
StatusUdgivet - 2012

Emneord

  • Asset pricing
  • Trading volume
  • Futures pricing
  • International financial markets
  • Market efficiency

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