Journal
JOURNAL OF FINANCIAL ECONOMICS
Volume 104, Issue 2, Pages 228-250Publisher
ELSEVIER SCIENCE SA
DOI: 10.1016/j.jfineco.2011.11.003
Keywords
Asset pricing; Trading volume; Futures pricing; International financial markets; Market efficiency
Categories
Ask authors/readers for more resources
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.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available