Time-Series Momentum: Is It There?

56 Pages Posted: 6 May 2018 Last revised: 10 Jun 2018

See all articles by Dashan Huang

Dashan Huang

Singapore Management University - Lee Kong Chian School of Business

Jiangyuan Li

Singapore Management University, Lee Kong Chian School of Business, Students

Liyao Wang

Singapore Management University - School of Economics

Guofu Zhou

Washington University in St. Louis - John M. Olin Business School; China Academy of Financial Research (CAFR)

Date Written: June 10, 2018

Abstract

Time-series momentum (TSM) refers to the predictability of the past 12-month return on the next one-month return, and is the focus of several recent influential studies. This paper shows, however, that asset-by-asset time-series regressions reveal little evidence of TSM, both in- and out-of-sample. In a pooled regression, the typically used t-statistic can over-reject the no predictability hypothesis, and three versions of bootstrap-corrected t-statistics show that there is no evidence of TSM. From an investment perspective, although the TSM strategy is known to be profitable, its performance is virtually the same as that of a similar strategy that is based on historical mean and does not require predictability. Overall, the evidence of TSM is weak, particularly for the large cross section of assets.

Keywords: Time series momentum; Risk premium; Return predictability; Partial least squares

JEL Classification: G12, G14, G15, F37

Suggested Citation

Huang, Dashan and Li, Jiangyuan and Wang, Liyao and Zhou, Guofu, Time-Series Momentum: Is It There? (June 10, 2018). Available at SSRN: https://ssrn.com/abstract=3165284 or http://dx.doi.org/10.2139/ssrn.3165284

Dashan Huang

Singapore Management University - Lee Kong Chian School of Business ( email )

50 Stamford Road
Singapore, 178899
Singapore

HOME PAGE: http://dashanhuang.weebly.com/

Jiangyuan Li

Singapore Management University, Lee Kong Chian School of Business, Students ( email )

469 Bukit Timah Road
Singapore
Singapore

Liyao Wang

Singapore Management University - School of Economics ( email )

90 Stamford Road
Singapore, 178903
Singapore

Guofu Zhou (Contact Author)

Washington University in St. Louis - John M. Olin Business School ( email )

Washington University
Campus Box 1133
St. Louis, MO 63130-4899
United States
314-935-6384 (Phone)
314-658-6359 (Fax)

HOME PAGE: http://apps.olin.wustl.edu/faculty/zhou/

China Academy of Financial Research (CAFR)

Shanghai Advanced Institute of Finance
Shanghai P.R.China, 200030
China

Register to save articles to
your library

Register

Paper statistics

Downloads
560
rank
44,978
Abstract Views
2,868
PlumX Metrics