Cross-Sectional and Time-Series Tests of Return Predictability: What Is the Difference?

• 成果类型: Article
• 署名作者: Goyal, Amit; Jegadeesh, Narasimhan
• 署名单位: University of Lausanne; Swiss Finance Institute (SFI); Emory University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhx131
• 发表日期: 2018
• 页码: 1784
• 关键词: momentum

摘要

We compare the performance of time-series (TS) and cross-sectional (CS) strategies based on past returns. While CS strategies are zero-net investment long/short strategies, TS strategies take on a time-varying net long investment in risky assets. For individual stocks, the difference between the performances of TS and CS strategies is largely due to this time-varying net long investment. With multiple international asset classes with heterogeneous return distributions, scaled CS strategies significantly outperform similarly scaled TS strategies.