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
Citation
HUANG, Dashan; LI, Jiangyuan; WANG, Liyao; and ZHOU, Guofu.
Time-series momentum: Is it there?. (2020). Journal of Financial Economics. 135, (3), 774-794.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/6521
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1016/j.jfineco.2019.08.004