Revisiting the Time Series Momentum Anomaly

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In this study, we re-examine the time series momentum anomaly to address several issues raised in a previous study. We first find that there is a significant and economically meaningful time series momentum anomaly regardless of the volatility scaling method. We also show that the anomaly exists even after considering the characteristics of diversified futures markets and more factors. Lastly, we show that the time series momentum anomaly is still present until recent years.
Publisher
WUHAN UNIV JOURNALS PRESS
Issue Date
2019-11
Language
English
Article Type
Article
Citation

ANNALS OF ECONOMICS AND FINANCE, v.20, no.2, pp.767 - 782

ISSN
1529-7373
URI
http://hdl.handle.net/10203/268191
Appears in Collection
MG-Journal Papers(저널논문)
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