Momentum turning points

• 成果类型: Article
• 署名作者: Goulding, Christian L.; Harvey, Campbell R.; Mazzoleni, Michele G.
• 署名单位: Auburn University System; Auburn University; Duke University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2023.05.007
• 发表日期: 2023
• 页码: 378-406
• 关键词: Time-series momentum; turning points; Volatility timing; Market timing; Trend following; Momentum speed

摘要

We use slow and fast time-series momentum to characterize four stock market cycles- Bull, Correction, Bear, and Rebound. The steep market declines of Bears concentrate in high-risk states, yet predict negative expected returns, which is difficult to rationalize by most models of time-varying risk premia. Using a model to analyze slow and fast momentum strategies, we estimate both relatively high mean persistence and realization noise in U.S. stock market returns. Intermediate-speed momentum portfolios, formed by blending slow and fast momentum strategies, translate predictive information in market cycles into positive unconditional alpha, for which we propose a novel decomposition.& COPY; 2023 Elsevier B.V. All rights reserved.