Short-term momentum (almost) everywhere

Adam Zaremba , Huaigang Long , Andreas Karathanasopoulos

Abstract

Is there a short-term reversal effect outside the universe of individual stocks? To answer this, we investigate a comprehensive dataset of more than two centuries of returns on five major asset classes: equity indices, government bonds, treasury bills, commodities, and currencies. Contrary to stock-level evidence, we find a striking short-term momentum pattern: the most recent month’s return positively predicts future performance. The effect is not explained by established return predictors—including the standard momentum—and is robust to many considerations. The short-term momentum is strongest among assets of high idiosyncratic volatility and in periods of elevated return dispersion. Also, the strategy payoffs display partial commonality across different asset classes.
Author Adam Zaremba (WZ / KIiRK)
Adam Zaremba,,
- Department of Investment and Capital Markets
, Huaigang Long - Zhejiang University, China
Huaigang Long,,
-
, Andreas Karathanasopoulos - Dubai Business School, University of Dubai
Andreas Karathanasopoulos,,
-
Journal seriesJournal of International Financial Markets Institutions & Money, [Journal of International Financial Markets, Institutions and Money], ISSN 1042-4431, (N/A 100 pkt)
Issue year2019
Vol63
Pages1-18
Publication size in sheets0.85
Keywords in Polishefekt momentum, efekt krótkoterminowego odwrócenia stop zwrotu, wycena aktywów
Keywords in EnglishShort-term momentum, Short-term reversal, Early asset prices, Long-term historical returns, Equity indices, Government bonds, Treasury bills, Currency, Commodities
ASJC Classification2002 Economics and Econometrics; 2003 Finance
DOIDOI:10.1016/j.intfin.2019.101140
URL https://www.sciencedirect.com/science/article/pii/S1042443119300976
Languageen angielski
Score (nominal)100
Score sourcejournalList
ScoreMinisterial score = 100.0, 08-04-2020, ArticleFromJournal
Publication indicators WoS Citations = 0; Scopus SNIP (Source Normalised Impact per Paper): 2018 = 1.172; WoS Impact Factor: 2017 = 1.719 (2) - 2017=2.269 (5)
Citation count*1 (2020-07-09)
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* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.
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