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Time-series momentum in individual stocks: is it there and where to look?

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  • Jiali Fang
  • Wei Hao
  • Udomsak Wongchoti

Abstract

Time series momentum (TSMOM), which is found in various asset classes, offers investors several practical advantages over traditional cross-sectional momentum. However, recent studies raise questions about its general existence and urge researchers to extensively search for optimal combinations in time horizon, asset characteristics, and market conditions in which TSMOM may be profitable. With a comprehensive study covering 2.25 million monthly returns on over 20,000 US individual stocks from 1986 to 2017, we find that TSMOM profits are more prominent among stocks and during market states characterized by inferior information dissemination.

Suggested Citation

  • Jiali Fang & Wei Hao & Udomsak Wongchoti, 2022. "Time-series momentum in individual stocks: is it there and where to look?," Applied Economics, Taylor & Francis Journals, vol. 54(18), pages 2048-2066, April.
    • Handle: RePEc:taf:applec:v:54:y:2022:i:18:p:2048-2066
    DOI: 10.1080/00036846.2021.1983151
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