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The Enduring Effect of Time-Series Momentum on Stock Returns Over Nearly 100-Years

53 Pages Posted: 26 Jan 2016 Last revised: 24 Aug 2017

Ian D’Souza

New York University - Leonard N. Stern School of Business

Voraphat Srichanachaichok

Bangkok Bank

George Jiaguo Wang

Manchester Business School; New York University - Stern School of Business

Yaqiong (Chelsea) Yao

Lancaster University - Management School; New York University (NYU) - Leonard N. Stern School of Business

Date Written: January 22, 2016

Abstract

This study documents the significant profitability of “time-series momentum” strategies in individual stocks in the US markets from 1927 to 2014 and in international markets since 1975. Unlike cross-sectional momentum, time-series stock momentum performs well following both up- and down-market states, and it does not suffer from January losses and market crashes. An easily formed dual-momentum strategy, combining time-series and cross-sectional momentum, generates striking returns of 1.88% per month. We test both risk based and behavioral models for the existence and durability of time-series momentum and suggest the latter offers unique insights into its continuing factor dominance.

Keywords: Time-series stock momentum; Return predictability; Market efficiency

JEL Classification: G11; G12

Suggested Citation

D’Souza, Ian and Srichanachaichok, Voraphat and Wang, George Jiaguo and Yao, Yaqiong (Chelsea), The Enduring Effect of Time-Series Momentum on Stock Returns Over Nearly 100-Years (January 22, 2016). Asian Finance Association (AsianFA) 2016 Conference. Available at SSRN: https://ssrn.com/abstract=2720600

Ian D’Souza

New York University - Leonard N. Stern School of Business ( email )

44 West 4th Street
New York, NY NY 10012
United States

HOME PAGE: http://www.stern.nyu.edu/faculty/bio/ian-dsouza

Voraphat Srichanachaichok

Bangkok Bank ( email )

Investment Banking Division
Bangkok Bank
Bangkok, 10500
Thailand

George Jiaguo Wang

Manchester Business School

Crawford House
Oxford Road
Manchester, M15 6PB
United Kingdom
+447516389968 (Phone)

HOME PAGE: http://www.mbs.ac.uk/research/people/profiles/gwang

New York University - Stern School of Business ( email )

44 West 4th Street
New York, NY NY 10012
United States

Yaqiong (Chelsea) Yao (Contact Author)

Lancaster University - Management School ( email )

Department of Accounting and Finance
Lancaster University Management School
Lancaster, LA1 4YX
United Kingdom
+44 (0)1524 510731 (Phone)

New York University (NYU) - Leonard N. Stern School of Business ( email )

Stern School of Business
44 West 4th Street
New York, NY NY 10012
United States

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