Short-term momentum (almost) everywhere
Adam Zaremba , Huaigang Long , Andreas Karathanasopoulos
AbstractIs 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.
|Journal series||Journal of International Financial Markets Institutions & Money, [Journal of International Financial Markets, Institutions and Money], ISSN 1042-4431, (N/A 100 pkt)|
|Publication size in sheets||0.85|
|Keywords in Polish||efekt momentum, efekt krótkoterminowego odwrócenia stop zwrotu, wycena aktywów|
|Keywords in English||Short-term momentum, Short-term reversal, Early asset prices, Long-term historical returns, Equity indices, Government bonds, Treasury bills, Currency, Commodities|
|Score||= 100.0, 08-04-2020, ArticleFromJournal|
|Publication indicators||= 0; : 2018 = 1.172; : 2017 = 1.719 (2) - 2017=2.269 (5)|
|Citation count*||1 (2020-07-22)|
* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.