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  • Time-Series Momentum in Nearly 100 Years of Stock Returns

    Rights statement: This is the author’s version of a work that was accepted for publication in Journal of Banking and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Banking and Finance, 97, 2018 DOI: 10.1016/j.jbankfin.2018.10.010

    Accepted author manuscript, 873 KB, PDF document

    Embargo ends: 19/04/20

    Available under license: CC BY-NC-ND: Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License

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Time-Series Momentum in Nearly 100 Years of Stock Returns

Research output: Contribution to journalJournal article

Published
<mark>Journal publication date</mark>12/2018
<mark>Journal</mark>Journal of Banking and Finance
Volume97
Number of pages14
Pages (from-to)283-296
Publication statusPublished
Early online date19/10/18
Original languageEnglish

Abstract

We document strong time-series momentum effects in individual stocks in the US markets from 1927 to 2017. Time-series momentum is not specific to sub-periods, firm sizes, formation- and holding-period lengths, or geographic markets. The effects persist after controlling for standard risk factors. Time-series momentum effects are conditional on the market state, the information discreteness of the constituent stocks and investor sentiment. We propose two alternative implementations, revised time-series momentum and dual momentum, which generate even higher profits than standard time-series momentum.

Bibliographic note

This is the author’s version of a work that was accepted for publication in Journal of Banking and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Banking and Finance, 97, 2018 DOI: 10.1016/j.jbankfin.2018.10.010