Re-examining differences between momentum and time series momentum among individual stocks

Re-examining differences between momentum and time series momentum among individual stocks

In this paper, we provide a comprehensive comparison of momentum (CSMOM) and time series momentum (TSMOM) among individual stocks in the US stock market from January 1964 to December 2015 and find that the two are distinct among individual stocks. With zero-cost strategies on both of them, we find t...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Applied economics letters 2019-10, Vol.26 (18), p.1537-1543
Hauptverfasser: Mu, Yuandong, He, Chaohua
Format: Artikel
Sprache:eng
Schlagworte:
anomalies
asset pricing
Economic analysis
Economic theory
Economics
Momentum
Securities markets
Stocks
Time series
time series momentum
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung:In this paper, we provide a comprehensive comparison of momentum (CSMOM) and time series momentum (TSMOM) among individual stocks in the US stock market from January 1964 to December 2015 and find that the two are distinct among individual stocks. With zero-cost strategies on both of them, we find that the explanations in Goyal and Jegadeesh (2018) cannot fully explain the differences between the performances of CSMOM strategies and TSMOM strategies.
ISSN:1350-4851
1466-4291
DOI:10.1080/13504851.2019.1584362