Time series momentum: Is it there?

• 成果类型: Article
• 署名作者: Huang, Dashan; Li, Jiangyuan; Wang, Liyao; Zhou, Guofu
• 署名单位: Singapore Management University; Singapore Management University; Washington University (WUSTL)
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2019.08.004
• 发表日期: 2020
• 页码: 774-794
• 关键词: Time series momentum; Risk premium; Return predictability; Pooled regression

摘要

Time series momentum (TSM) refers to the predictability of the past 12-month return on the next one-month return and is the focus of several recent influential studies. This paper shows that asset-by-asset time series regressions reveal little evidence of TSM, both in- and out-of-sample. While the t-statistic in a pooled regression appears large, it is not statistically reliable as it is less than the critical values of parametric and nonparametric bootstraps. From an investment perspective, the TSM strategy is profitable, but its performance is virtually the same as that of a similar strategy that is based on historical sample mean and does not require predictability. Overall, the evidence on TSM is weak, particularly for the large cross section of assets. (C) 2019 Elsevier B.V. All rights reserved.