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Revisiting the Time Series Momentum Anomaly

Author

Listed:
  • Yonghwan Jo

    (Advanced Institute of Finance and Economics, Liaoning University)

  • Jihee Kim

    (College of Business, Korea Advanced Institute of Science and Technology (KAIST))

Abstract

In this study, we re-examine the time series momentum anomaly to address several issues raised in a previous study. We first find that there is a significant and economically meaningful time series momentum anomaly regardless of the volatility scaling method. We also show that the anomaly exists even after considering the characteristics of diversified futures markets and more factors. Lastly, we show that the time series momentum anomaly is still present until recent years.

Suggested Citation

  • Yonghwan Jo & Jihee Kim, 2019. "Revisiting the Time Series Momentum Anomaly," Annals of Economics and Finance, Society for AEF, vol. 20(2), pages 767-782, November.
    • Handle: RePEc:cuf:journl:y:2019:v:20:i:2:jokim
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    References listed on IDEAS

    as
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    4. Fama, Eugene F. & French, Kenneth R., 2012. "Size, value, and momentum in international stock returns," Journal of Financial Economics, Elsevier, vol. 105(3), pages 457-472.
    5. Fama, Eugene F. & French, Kenneth R., 2015. "A five-factor asset pricing model," Journal of Financial Economics, Elsevier, vol. 116(1), pages 1-22.
    6. Gary B. Gorton & Fumio Hayashi & K. Geert Rouwenhorst, 2013. "The Fundamentals of Commodity Futures Returns," Review of Finance, European Finance Association, vol. 17(1), pages 35-105.
    7. Kim, Abby Y. & Tse, Yiuman & Wald, John K., 2016. "Time series momentum and volatility scaling," Journal of Financial Markets, Elsevier, vol. 30(C), pages 103-124.
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Asset pricing; Time series momentum; Volatility scaling; Futures pricing; International financial markets;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • F30 - International Economics - - International Finance - - - General
    • F38 - International Economics - - International Finance - - - International Financial Policy: Financial Transactions Tax; Capital Controls
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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