He, Xue-Zhong; Li, Kai - In: Journal of Banking & Finance 53 (2015) C, pp. 140-157
explain the significant time series momentum. We show that the performance of momentum strategy is determined by both time …-reacts (over-reacts) in short-run (long-run). This provides profit opportunity for time series momentum strategies with short … provide an insight into the profitability of time series momentum documented in recent empirical studies. …