dc.contributor.author | Zakamulin, Valeriy | |
dc.contributor.author | Giner, Javier | |
dc.date.accessioned | 2022-11-10T12:11:30Z | |
dc.date.available | 2022-11-10T12:11:30Z | |
dc.date.created | 2022-09-24T13:24:21Z | |
dc.date.issued | 2022 | |
dc.identifier.citation | Zakamulin, V & Giner, J. (2022). Time series momentum in the US stock market: Empirical evidence and theoretical analysis. International Review of Financial Analysis, 82, 1-16. | en_US |
dc.identifier.issn | 1873-8079 | |
dc.identifier.uri | https://hdl.handle.net/11250/3031165 | |
dc.description.abstract | There is much controversy in the academic literature on the presence of short-term trends in financial markets and the trend-following strategy’s profitability. We restrict our attention to studying the time series momentum in the S&P Composite stock price index. Our contributions are both empirical and theoretical. On the empirical side, we present compelling evidence of the presence of short-term momentum. For the first time, we suppose that the returns follow a -order autoregressive process and evaluate this process’s parameters. On the theoretical side, we develop a tractable theoretical model that contributes to our fundamental understanding of the trend-following strategy’s risk, return, and performance. Using our model, we also estimate the power of statistical tests on the trend-following strategy’s profitability and find that these tests suffer from the low power problem. | en_US |
dc.language.iso | eng | en_US |
dc.publisher | North-Holland | en_US |
dc.rights | Navngivelse 4.0 Internasjonal | * |
dc.rights.uri | http://creativecommons.org/licenses/by/4.0/deed.no | * |
dc.title | Time series momentum in the US stock market: Empirical evidence and theoretical analysis | en_US |
dc.type | Peer reviewed | en_US |
dc.type | Journal article | en_US |
dc.description.version | publishedVersion | en_US |
dc.rights.holder | © 2022 The Author(s) | en_US |
dc.subject.nsi | VDP::Samfunnsvitenskap: 200::Økonomi: 210 | en_US |
dc.source.pagenumber | 1-16 | en_US |
dc.source.volume | 82 | en_US |
dc.source.journal | International Review of Financial Analysis | en_US |
dc.identifier.doi | https://doi.org/10.1016/j.irfa.2022.102173 | |
dc.identifier.cristin | 2055053 | |
dc.description.localcode | Paid open access | en_US |
dc.source.articlenumber | 102173 | en_US |
cristin.qualitycode | 1 | |