77 Pages Posted: 20 May 2015 Last revised: 11 May 2017
Date Written: January 15, 2017
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: 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