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
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
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