Time series momentum

Journal of Financial Economics

Volumn 104, Issue 2, 2012, Pages 228-250

  Moskowitz, Tobias J ^a   Ooi, Yao Hua ^b   Pedersen, Lasse Heje ^b,c,d  

^a UNIVERSITY OF CHICAGO   (United States)

^b AQR Capital Management ^*  (United States)

^c Copenhagen Business School ^*  (Denmark)

^d NEW YORK UNIVERSITY   (United States)

Author keywords

Asset pricing; Futures pricing; International financial markets; Market efficiency; Trading volume

Indexed keywords

EID: 84858159624     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfineco.2011.11.003     Document Type: Article

References (47)

1. Ahn D.H., Boudoukh J., Richardson M., Whitelaw.R.F. Partial adjustment or stale prices? Implications from stock index and futures return autocorrelations. The Review of Financial Studies 2002, 15:655-689.
2. Ahn D.H., Conrad J., Dittmar R.F. Risk adjustment and trading strategies. The Review of Financial Studies 2003, 16:459-485.
3. Asness, C., 1994. Variables that Explain Stock Returns. Ph.D. Dissertation. University of Chicago.
4. Asness C., Liew J.M., Stevens R.L. Parallels between the cross-sectional predictability of stock and country returns. The Journal of Portfolio Management 1997, 23:79-87.
5. Asness, C., Moskowitz, T.J., Pedersen, L.H., 2010. Value and momentum everywhere. AQR Capital, University of Chicago, and National Bureau of Economic Research.
6. Baker M., Wurgler J. Investor sentiment and the cross-section of stock returns. Journal of Finance 2006, 61:1645-1680.
7. Baker M., Wurgler J. Investor sentiment in the stock market. Journal of Economic Perspectives 2007, 21:129-157.
8. Barberis N., Shleifer A., Vishny R. A model of investor sentiment. Journal of Financial Economics 1998, 49:307-343.
9. Berk J., Green R.C., Naik V. Optimal investment, growth options and security returns. Journal of Finance 1999, 54:1153-1608.
10. Bessembinder H. Systematic risk, hedging pressure, and risk premiums in futures markets. The Review of Financial Studies 1992, 5:637-667.
11. Bhojraj S., Swaminathan B. Macromomentum: returns predictability in international equity indices. The Journal of Business 2006, 79:429-451.
12. Bikhchandani S., Hirshleifer D., Welch I. A theory of fads, fashion, custom, and cultural change as informational cascades. Journal of Political Economy 1992, 100:992-1026.
13. Brunnermeier M., Pedersen L.H. Market liquidity and funding liquidity. The Review of Financial Studies 2009, 22:2201-2238.
14. Chen J., Hong H. Discussion of 'Momentum and autocorrelation in stock returns. The Review of Financial Studies 2002, 15:565-573.
15. Cutler D.M., Poterba J.M., Summers L.H. Speculative dynamics. Review of Economic Studies 1991, 58:529-546.
16. Daniel K., Hirshleifer D., Subrahmanyam A. A theory of overconfidence, self-attribution, and security market under- and over-reactions. Journal of Finance 1998, 53:1839-1885.
17. De Long J.B., Shleifer A., Summers L.H., Waldmann R.J. Positive feedback investment strategies and destabilizing rational speculation. The Journal of Finance 1990, 45:379-395.
18. DeMiguel, V., Nogales, F.J., Uppal, R., 2010. Stock Return Serial Dependence and Out-of-sample Portfolio Performance. Unpublished working paper. London Business School.
19. de Roon F., Nijman T.E., Veld C. Hedging pressure effects in futures markets. Journal of Finance 2000, 55:1437-1456.
20. Edwards W. Conservatism in human information processing. Formal Representation of Human Judgment 1968, 17-52. John Wiley and Sons, New York. B. Kleinmutz (Ed.).
21. Erb C., Harvey C. The tactical and strategic value of commodity futures. Financial Analysts Journal 2006, 62:69-97.
22. Fama E., French K. Commodity futures prices: Some evidence on forecast power, premiums, and the theory of storage. Journal of Business 1987, 60:55-73.
23. Fama E., French K. Permanent and temporary components of stock prices. Journal of Political Economy 1988, 96:246-273.
24. Fama E., French K. Common risk factors in the returns of stocks and bonds. Journal of Financial Economic 1993, 33:3-56.
25. Frazzini A. The disposition effect and underreaction to news. Journal of Finance 2006, 61:2017-2046.
26. Fung W., Hsieh D. The risk in hedge fund strategies: theory and evidence from trend followers. Review of Financial Studies 2001, 14:313-341.
27. Garleanu, N., Pedersen, L.H., 2009. Dynamic Trading with Predictable Returns and Transaction Costs. Unpublished working paper. Berkeley and New York University.
28. Garleanu N., Pedersen L.H. Margin-based asset pricing and deviations from the law of one price. The Review of Financial Studies 2011, 24:1980-2022.
29. Gorton, G.B., Hayashi, F., Rouwenhorst, K.G., 2008. The Fundamentals of Commodity Futures Returns. Unpublished working paper. Yale ICF.
30. Hong H., Stein J. A unified theory of underreaction, momentum trading and overreaction in asset markets. Journal of Finance 1999, 54:2143-2184.
31. Jegadeesh N., Titman S. Returns to buying winners and selling losers: implications for stock market efficiency. Journal of Finance 1993, 48:65-91.
32. Johnson T.C. Rational momentum effects. Journal of Finance 2002, 57:585-608.
33. Keynes J.M. Some aspects of commodity markets. Manchester Guardian Commercial, European Reconstruction Series Section 1923, 13:784-786.
34. Lequeux P., Acar E. A dynamic index for managed currencies funds using CME currency contracts. European Journal of Finance 1998, 4:311-330.
35. Lewellen J. Momentum and autocorrelation in stock returns. The Review of Financial Studies 2002, 15:533-564.
36. Liu L., Zhang L. Momentum profits, factor pricing, and macroeconomic risk. Review of Financial Studies 2008, 21:2417-2448.
37. Lo A., Mackinlay C. Stock prices do not follow random walks: evidence from a simple specification test. Review of Financial Studies 1988, 1:41-66.
38. Lo A., Mackinlay C. When are contrarian profits due to stock market overreaction?. Review of Financial Studies 1990, 3:175-206.
39. Moskowitz T.J., Grinblatt M. Do industries explain momentum?. The Journal of Finance 1999, 54:1249-1290.
40. Poterba J.M., Summers L.H. Mean reversion in stock prices: evidence and implications. Journal of Financial Economics 1988, 22:27-59.
41. Qiu, L.X., Welch, I., 2006. Investor Sentiment Measures. Unpublished working paper. Brown University.
42. Richardson M. Temporary components of stock prices: a skeptic's view. Journal of Business & Economic Statistics 1993, 11:199-207.
43. Rouwenhorst K.G. International momentum strategies. The Journal of Finance 1998, 53:267-284.
44. Sagi J.S., Seasholes M.S. Firm-specific attributes and the cross-section of momentum. Journal of Financial Economics 2007, 84:389-434.
45. Shefrin H., Statman M. The disposition to sell winners too early and ride losers too long: theory and evidence. Journal of Finance 1985, 40:777-791.
46. Shleifer A., Summers L.H. The noise trader approach to finance. Journal of Economic Perspectives 1990, 4:19-33.
47. Tversky A., Kahneman D. Judgment under uncertainty: heuristics and biases. Science 1974, 185:1124-1131.