Publication Type

Journal Article

Version

submittedVersion

Publication Date

3-2020

Abstract

Time-series momentum (TSM) refers to the predictability of the past 12-month return on the next one-month return, and is the focus of several recent influential studies. This paper shows, however, that asset-by-asset time-series regressions reveal little evidence of TSM, both in- and out-of-sample. While the t-statistic in a pooled regression appears large, it is not statistically reliable as it is less than the critical values of parametric and non-parametric bootstraps. From an investment perspective, the TSM strategy is profitable, but its performance is virtually the same as that of a similar strategy that is based on historical sample mean and does not require predictability. Overall, the evidence on TSM is weak, particularly for the large cross section of assets.

Keywords

Time-series momentum, Risk premium, Return predictability, Pooled regression

Discipline

Finance | Finance and Financial Management

Research Areas

Finance

Publication

Journal of Financial Economics

Volume

135

Issue

3

First Page

774

Last Page

794

ISSN

0304-405X

Identifier

10.1016/j.jfineco.2019.08.004

Publisher

Elsevier

Copyright Owner and License

Authors

Additional URL

https://doi.org/10.1016/j.jfineco.2019.08.004

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