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Long-term time series reversal: International evidence

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  • Kobinger, Sonja
  • Bornholt, Graham
  • Malin, Mirela

Abstract

This paper is the first to examine the predictability of equity returns from extreme long-term past performances using a time-series approach. It builds on findings on the short-term ‘time-series momentum’ effect. The analysis is done at the individual time-series level as well as at the portfolio level. Average returns following extreme low long-term performances significantly exceed those following extreme high long-term performances for approximately half of the MSCI developed country indices, and for the country-average. Strategies exploiting the long-term ‘time-series reversal’ (TSR) effect provide superior risk-adjusted returns.

Suggested Citation

  • Kobinger, Sonja & Bornholt, Graham & Malin, Mirela, 2020. "Long-term time series reversal: International evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 65(C).
    • Handle: RePEc:eee:intfin:v:65:y:2020:i:c:s104244312030069x
    DOI: 10.1016/j.intfin.2020.101185
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    References listed on IDEAS

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    More about this item

    Keywords

    Return reversal; Asset pricing; Trading strategies; Time-series momentum;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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