53 Pages Posted: 26 Jan 2016 Last revised: 19 Aug 2016
Date Written: January 22, 2016
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: 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