Time-Series Momentum in Nearly 100 Years of Stock Returns

Lim, Bryan and Wang, Jiaguo and Yao, Yaqiong (2018) Time-Series Momentum in Nearly 100 Years of Stock Returns. Journal of Banking and Finance, 97. pp. 283-296. ISSN 0378-4266

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Official URL: https://doi.org/10.1016/j.jbankfin.2018.10.010

Abstract

We document strong time-series momentum effects in individual stocks in the US markets from 1927 to 2017. Time-series momentum is not specific to sub-periods, firm sizes, formation- and holding-period lengths, or geographic markets. The effects persist after controlling for standard risk factors. Time-series momentum effects are conditional on the market state, the information discreteness of the constituent stocks and investor sentiment. We propose two alternative implementations, revised time-series momentum and dual momentum, which generate even higher profits than standard time-series momentum.

Item Type:

Journal Article

Journal or Publication Title:

Journal of Banking and Finance

Additional Information:

This is the author’s version of a work that was accepted for publication in Journal of Banking and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Banking and Finance, 97, 2018 DOI: 10.1016/j.jbankfin.2018.10.010

Uncontrolled Keywords:

/dk/atira/pure/subjectarea/asjc/2000/2002

Subjects:

Departments:

Lancaster University Management School > Accounting & Finance

ID Code:

128366

Deposited By:

ep_importer_pure

Deposited On:

18 Oct 2018 11:04

Refereed?: