Time series momentum

• 成果类型: Article
• 署名作者: Moskowitz, Tobias J.; Ooi, Yao Hua; Pedersen, Lasse Heje
• 署名单位: University of Chicago; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research; New York University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2011.11.003
• 发表日期: 2012
• 页码: 228-250
• 关键词: Asset pricing; trading volume; Futures pricing; international financial markets; market efficiency

摘要

We document significant time series momentum in equity index, currency, commodity, and bond futures for each of the 58 liquid instruments we consider. We find persistence in returns for one to 12 months that partially reverses over longer horizons, consistent with sentiment theories of initial under-reaction and delayed over-reaction. A diversified portfolio of time series momentum strategies across all asset classes delivers substantial abnormal returns with little exposure to standard asset pricing factors and performs best during extreme markets. Examining the trading activities of speculators and hedgers, we find that speculators profit from time series momentum at the expense of hedgers. (C) 2011 Elsevier B.V. All rights reserved.