Time-Series Momentum: Is It There?

50 Pages Posted: 6 May 2018 Last revised: 15 Apr 2019

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: January 10, 2019

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 that asset-by-asset time series regressions reveal little evidence of TSM, both in- and out-of-sample. While the t-statistic in a pooled regression appears large, it is not statistically reliable as it is less than the critical values of parametric and nonparametric bootstraps. From an investment perspective, the TSM strategy is profitable, but its performance is virtually the same as that of a similar strategy that is based on historical sample mean and does not require predictability. Overall, the evidence on TSM is weak, particularly for the large cross section of assets.

Keywords: Time-series momentum; Risk premium; Return predictability; Pooled regression

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? (January 10, 2019). Journal of Financial Economics (JFE), Forthcoming. 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

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