Time series momentum and reversal: Intraday information from realized semivariance
46 Pages Posted: 22 May 2020 Last revised: 24 Feb 2021
Date Written: April 25, 2020
The presence of time series momentum has been widely documented in ﬁnancial markets across asset classes and countries. In this study, we ﬁnd a predictable pattern of the realized semivariance estimators for the returns of commodity futures, particularly during the reversals of time series momentum. Based on this ﬁnding, we propose a rule-based time series momentum strategy that has a statistically signiﬁcant higher Sharpe ratio compared to the benchmark of the original time series momentum strategy in the out-of-sample data. The results are robust for diﬀerent subsamples and various lookback windows.
Keywords: Asset Pricing, Time Series Momentum, Momentum Reversal, Realized Semivariance, High-frequency Data
JEL Classification: G12, G17
Suggested Citation: Suggested Citation