The DOI matches its Crossref record; 61 of the 61 references it cites were found in a registry or an index.
Time series momentum
Open accessAbstract
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 1 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.
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Cites
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Investor Sentiment and the Cross‐Section of Stock Returns
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Investor Psychology and Security Market Under‐ and Overreactions
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Market Liquidity and Funding Liquidity
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Self-citationA model of investor sentiment /
Barberis, N., Vishny, R. W., Shleifer, A., & Research., N. B. O. E. (1997) · University of Michigan Library Repository · Cited by 4,013
A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets
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Cited by
… and the Cross-Section of Expected Returns
Harvey, C. R., Liu, Y., & Zhu, H. (2016) · Review of Financial Studies · doi:10.1093/rfs/hhv059 · Cited by 2,119
Does Academic Research Destroy Stock Return Predictability?
MCLEAN, R. D., & PONTIFF, J. (2016) · The Journal of Finance · doi:10.1111/jofi.12365 · Cited by 1,566
Investor Sentiment Aligned: A Powerful Predictor of Stock Returns
Huang, D., Jiang, F., Tu, J., & Zhou, G. (2015) · Review of Financial Studies · doi:10.1093/rfs/hhu080 · Cited by 1,123
Forecasting the equity risk premium: the role of technical indicators
Neely, C. J., Rapach, D. E., Tu, J., & Zhou, G. (2014) · Management Science · doi:10.1287/mnsc.2013.1838 · Cited by 1,003
Menkhoff, L., Sarno, L., Schmeling, M., & Schrimpf, A. (2012) · Journal of Financial Economics · doi:10.1016/j.jfineco.2012.06.009 · Cited by 518
Metadata
- Authors
- Moskowitz, T. J., Ooi, Y. H., & Pedersen, L. H.
- Venue
- Journal of Financial Economics
- Publisher
- Elsevier BV
- Published
- 2012-05
- Volume
- 104
- Issue
- 2
- Pages
- 228-250
- ISSN
- 0304-405X (ISSN-L)
- OpenAlex
- W3124639629
- Cited by
- 1,431
- References
- 61
- FWCI
- 114.52
- Type
- journal article
- Language
- en
- Open access
- hybrid
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- Moskowitz, T. J., Ooi, Y. H., & Pedersen, L. H. (2012). Time series momentum. Journal of Financial Economics. https://doi.org/10.1016/j.jfineco.2011.11.003
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
