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Re-examining differences between momentum and time series momentum among individual stocks
Mu, Yuandong; He, Chaohua - In: Applied economics letters 26 (2019) 18, pp. 1537-1543
Persistent link: https://www.econbiz.de/10012204837
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Cross-asset signals and time series momentum
Pitkäjärvi, Aleksi; Suominen, Matti; Vaittinen, Lauri - In: Journal of financial economics 136 (2020) 1, pp. 63-85
Persistent link: https://www.econbiz.de/10012545360
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Breaking bad trends
Goulding, Christian L.; Harvey, Campbell R.; Mazzoleni, … - In: Financial analysts journal : FAJ 80 (2024) 1, pp. 84-98
Persistent link: https://www.econbiz.de/10014576152
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Why does return predictability concentrate in bad times?
Cujean, Julien; Hasler, Michael - 2017
-series momentum, which strengthens in bad times, increases with disagreement, and crashes after sharp market rebounds. We provide …
Persistent link: https://www.econbiz.de/10011721618
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Why does return predictability concentrate in bad times?
Cujean, Julien; Hasler, Michael - In: The journal of finance : the journal of the American … 72 (2017) 6, pp. 2717-2758
Persistent link: https://www.econbiz.de/10012160151
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Risk-adjusted time series momentum
Dudler, Martin; Gmür, Bruno; Malamud, Semyon - 2014
We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are … liquid futures contracts and show that RAMOM strategies outperform the time series momentum (TSMOM) strategies of Ooi …), value (HML), and momentum (UMD) factors. As a result, RAMOM returns have a natural, built-in exposure to the MKT, HML, and …
Persistent link: https://www.econbiz.de/10011293745
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Time series momentum and volatility scaling
Kim, Abby Y.; Tse, Yiuman; Wald, John K. - In: Journal of financial markets 30 (2016), pp. 103-124
Persistent link: https://www.econbiz.de/10011722256
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Does time series momentum also exist outside traditional financial markets? : near-laboratory evidence from sports betting
Vandenbruaene, Jonas; De Ceuster, Marc J.; Annaert, Jan - In: Journal of behavioral and experimental economics 104 (2023), pp. 1-15
Persistent link: https://www.econbiz.de/10014335707
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Time series reversal in trend-following strategies
Liu, Jiadong; Papailias, Fotis - In: European financial management : the journal of the … 29 (2023) 1, pp. 76-108
Persistent link: https://www.econbiz.de/10014253882
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Time series momentum and reversal : intraday information from realized semivariance
Liu, Zhenya; Lu, Shanglin; Li, Bo; Wang, Shixuan - In: Journal of empirical finance 72 (2023), pp. 54-77
Persistent link: https://www.econbiz.de/10014476799