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, 874 KB, PDF document
Available under license: CC BY-NC-ND: Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License
Final published version
Research output: Contribution to Journal/Magazine › Journal article › peer-review
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
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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 -