Asymmetry, tail risk and time series momentum

Liu, Zhenya; Lu, Shanglin; Wang, Shixuan

doi:10.1016/j.irfa.2021.101938

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“…Beyond currency markets, time series momentum has been shown to be a powerful predictor of returns. These returns cannot be accounted for by risk-based explanations (see Moskowitz, Ooi, and Pedersen (2012), Asness et al (2013), He and Li (2015), Kim, Tse, and Wald (2016), Georgopoulou and Wang (2017), Lim, Wang, and Yao (2018), Hutchinson and O'Brien (2020), Liu, Lu, and Wang (2021)). Researchers have also documented time series momentum in higher frequency data (see, Shen, Urquhart, and Wang (2021) for bitcoin and Li, Sakkas, and Urquhart (2021) for broader asset classes).…”

Section: J O U R N a L P R E -P R O O Fmentioning

confidence: 99%