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Two Centuries of Multi-Asset Momentum (Equities, Bonds, Currencies, Commodities, Sectors and Stocks)

77 Pages Posted: 20 May 2015 Last revised: 11 May 2017

Christopher Geczy

University of Pennsylvania - The Wharton School, Finance Department

Mikhail Samonov

Forefront Analytics

Date Written: January 15, 2017

Abstract

Extending price momentum tests to the longest available histories of global financial assets, including country equities, government bonds, currencies, commodities, sectors and U.S. stocks, we create a 215-year history of cross-sectional multi-asset momentum, and confirm the significance of the momentum premium inside and across asset classes. Consistent with stock-level results, we document a large variation of momentum portfolio betas, conditional on the direction and duration of the state of the asset class in which the momentum portfolio is built. A significant recent rise in pair-wise momentum portfolio correlations suggests features of the data important for empiricists, theoreticians and practitioners alike.

Keywords: Price Momentum, Early Security Prices, Market States, Price Reversal, Currency, Commodity, Bonds

JEL Classification: G12, G14

Suggested Citation

Geczy, Christopher and Samonov, Mikhail, Two Centuries of Multi-Asset Momentum (Equities, Bonds, Currencies, Commodities, Sectors and Stocks) (January 15, 2017). Available at SSRN: https://ssrn.com/abstract=2607730 or http://dx.doi.org/10.2139/ssrn.2607730

Christopher Charles Geczy

University of Pennsylvania - The Wharton School, Finance Department ( email )

The Wharton School
3620 Locust Walk
Philadelphia, PA 19104
United States
(215) 898-1698 (Phone)
(215) 898-6200 (Fax)

Mikhail Samonov (Contact Author)

Forefront Analytics ( email )

100 Front St
West Conshohocken, PA 19428
United States
8189163640 (Phone)

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