Time series momentum and macroeconomic risk
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DOI: 10.1016/j.irfa.2020.101469
Abstract: The time series momentum strategy has been shown to deliver consistent profitability over a long time horizon. Funds pursuing these strategies are now a component of many institutional portfolios, due to the expectation of positive… read more here.
Keywords: series momentum; time; strategy; time series ... See more keywords
Improving market timing of time series momentum in the Chinese stock market
Sign Up to like & getrecommendations! Published in 2020 at "Applied Economics"
DOI: 10.1080/00036846.2020.1740160
Abstract: ABSTRACT This paper is the first study to present firm-level evidence that the time-series momentum (TSMOM) strategies with look-back-period k of 10 to 200 days outperform the buy-and-hold strategy (BH) on individual stocks in the… read more here.
Keywords: chinese stock; time series; time; series momentum ... See more keywords