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...
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| Veröffentlicht in: | Applied economics letters 2019-10, Vol.26 (18), p.1537-1543 |
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| container_title | Applied economics letters |
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| creator | Mu, Yuandong He, Chaohua |
| description | 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. |
| doi_str_mv | 10.1080/13504851.2019.1584362 |
| format | Article |
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| subjects | anomalies asset pricing Economic analysis Economic theory Economics Momentum Securities markets Stocks Time series time series momentum |
| title | Re-examining differences between momentum and time series momentum among individual stocks |
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