Abstract

http://ssrn.com/abstract=2089463
 
 

Citations (28)



 


 



Time Series Momentum


Tobias J. Moskowitz


AQR Capital; University of Chicago - Booth School of Business; National Bureau of Economic Research (NBER)

Yao Hua Ooi


AQR Capital Management, LLC

Lasse Heje Pedersen


AQR Capital Management, LLC; Copenhagen Business School - Department of Finance; New York University (NYU); Centre for Economic Policy Research (CEPR)

September 1, 2011

Chicago Booth Research Paper No. 12-21
Fama-Miller Working Paper

Abstract:     
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.

Number of Pages in PDF File: 62


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Date posted: June 23, 2012  

Suggested Citation

Moskowitz, Tobias J. and Ooi, Yao Hua and Pedersen, Lasse Heje, Time Series Momentum (September 1, 2011). Chicago Booth Research Paper No. 12-21; Fama-Miller Working Paper. Available at SSRN: http://ssrn.com/abstract=2089463 or http://dx.doi.org/10.2139/ssrn.2089463

Contact Information

Tobias J. Moskowitz (Contact Author)
AQR Capital ( email )
Greenwich, CT
United States

University of Chicago - Booth School of Business ( email )
5807 S. Woodlawn Avenue
Chicago, IL 60637
United States
773-834-2757 (Phone)
773-702-0458 (Fax)

Chicago Booth School of Business Logo

National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Yao Hua Ooi
AQR Capital Management, LLC ( email )
Greenwich, CT
United States

Lasse Heje Pedersen
AQR Capital Management, LLC ( email )
Greenwich, CT
United States

Copenhagen Business School - Department of Finance ( email )
Solbjerg Plads 3
Frederiksberg, DK-2000
Denmark
New York University (NYU) ( email )
Stern School of Business
44 West 4th Street
New York, NY 10012-1126
United States
Centre for Economic Policy Research (CEPR) ( email )
77 Bastwick Street
London, EC1V 3PZ
United Kingdom
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