The Enduring Effect of Time-Series Momentum on Stock Returns over nearly 100-Years

Ian D'Souza, George Wang, Voraphat Srichanachaichok

Research output: Working paperDiscussion paper

Abstract

This study documents the significant profitability of “time-series momentum” strategies in individual stocks in the US markets from 1927 to 2014 and in international markets since 1975. Unlike cross-sectional momentum, time-series stock momentum performs well following both up- and down-market states, and it does not suffer from January losses and market crashes. An easily formed dual-momentum strategy, combining time-series and cross-sectional momentum, generates striking returns of 1.88% per month. We test both risk based and behavioral models for the existence and durability of time-series momentum and suggest the latter offers unique insights into its continuing factor dominance.
Original languageEnglish
PublisherFinancial Management Association International
Number of pages53
Publication statusPublished - 2016

Keywords

  • Time-series momentum
  • Market efficiency
  • Return predictability

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