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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

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    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 Journal/Magazine › Journal article › peer-review

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Time-Series Momentum in Nearly 100 Years of Stock Returns. / Lim, Bryan; Wang, Jiaguo; Yao, Yaqiong.
In: Journal of Banking and Finance, Vol. 97, 01.12.2018, p. 283-296.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Lim, B, Wang, J & Yao, Y 2018, 'Time-Series Momentum in Nearly 100 Years of Stock Returns', Journal of Banking and Finance, vol. 97, pp. 283-296. https://doi.org/10.1016/j.jbankfin.2018.10.010

APA

Lim, B., Wang, J., & Yao, Y. (2018). Time-Series Momentum in Nearly 100 Years of Stock Returns. Journal of Banking and Finance, 97, 283-296. https://doi.org/10.1016/j.jbankfin.2018.10.010

Vancouver

Lim B, Wang J, Yao Y. Time-Series Momentum in Nearly 100 Years of Stock Returns. Journal of Banking and Finance. 2018 Dec 1;97:283-296. Epub 2018 Oct 19. doi: 10.1016/j.jbankfin.2018.10.010

Author

Lim, Bryan ; Wang, Jiaguo ; Yao, Yaqiong. / Time-Series Momentum in Nearly 100 Years of Stock Returns. In: Journal of Banking and Finance. 2018 ; Vol. 97. pp. 283-296.

Bibtex

@article{58dc95bf9fe449648aa1015eeb09a481,
title = "Time-Series Momentum in Nearly 100 Years of Stock Returns",
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. ",
keywords = "Time-series stock momentum, Return predictability, Market efficiency",
author = "Bryan Lim and Jiaguo Wang and Yaqiong Yao",
note = "This is the author{\textquoteright}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",
year = "2018",
month = dec,
day = "1",
doi = "10.1016/j.jbankfin.2018.10.010",
language = "English",
volume = "97",
pages = "283--296",
journal = "Journal of Banking and Finance",
issn = "0378-4266",
publisher = "Elsevier",

}

RIS

TY - JOUR

T1 - Time-Series Momentum in Nearly 100 Years of Stock Returns

AU - Lim, Bryan

AU - Wang, Jiaguo

AU - Yao, Yaqiong

N1 - 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

PY - 2018/12/1

Y1 - 2018/12/1

N2 - 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.

AB - 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.

KW - Time-series stock momentum

KW - Return predictability

KW - Market efficiency

U2 - 10.1016/j.jbankfin.2018.10.010

DO - 10.1016/j.jbankfin.2018.10.010

M3 - Journal article

VL - 97

SP - 283

EP - 296

JO - Journal of Banking and Finance

JF - Journal of Banking and Finance

SN - 0378-4266

ER -