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Time-series momentum in nearly 100 years of stock returns

Author

Listed:
  • Lim, Bryan Y.
  • Wang, Jiaguo (George)
  • Yao, Yaqiong

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.

Suggested Citation

  • Lim, Bryan Y. & Wang, Jiaguo (George) & Yao, Yaqiong, 2018. "Time-series momentum in nearly 100 years of stock returns," Journal of Banking & Finance, Elsevier, vol. 97(C), pages 283-296.
    • Handle: RePEc:eee:jbfina:v:97:y:2018:i:c:p:283-296
    DOI: 10.1016/j.jbankfin.2018.10.010
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    References listed on IDEAS

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    More about this item

    Keywords

    Time-series stock momentum; Return predictability; Market efficiency;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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