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Time series momentum: Is it there?

Citations

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Cited by:

  1. Hutchinson, Mark C. & Kyziropoulos, Panagiotis E. & O'Brien, John & O'Reilly, Philip & Sharma, Tripti, 2022. "Are carry, momentum and value still there in currencies?," International Review of Financial Analysis, Elsevier, vol. 83(C).
  2. Zakamulin, Valeriy & Giner, Javier, 2022. "Time series momentum in the US stock market: Empirical evidence and theoretical analysis," International Review of Financial Analysis, Elsevier, vol. 82(C).
  3. Pan, Zhiyuan & Zhong, Hao & Wang, Yudong & Huang, Juan, 2024. "Forecasting oil futures returns with news," Energy Economics, Elsevier, vol. 134(C).
  4. Jing-Rung Yu & Chieh-Hui Wei & Chi-Ju Lai & Wen-Yi Lee, 2023. "Extending the Omega model with momentum and reversal strategies to intraday trading," PLOS ONE, Public Library of Science, vol. 18(9), pages 1-15, September.
  5. Blanco, Ivan & De Jesus, Miguel & Remesal, Alvaro, 2023. "Overlapping momentum portfolios," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 1-22.
  6. Borgards, Oliver, 2021. "Dynamic time series momentum of cryptocurrencies," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  7. Yufeng Han & Lingfei Kong, 2022. "A trend factor in commodity futures markets: Any economic gains from using information over investment horizons?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(5), pages 803-822, May.
  8. Islam, M.S. & Das, Barun K. & Das, Pronob & Rahaman, Md Habibur, 2021. "Techno-economic optimization of a zero emission energy system for a coastal community in Newfoundland, Canada," Energy, Elsevier, vol. 220(C).
  9. Mamdouh Medhat & Maik Schmeling, 2022. "Short-term Momentum," The Review of Financial Studies, Society for Financial Studies, vol. 35(3), pages 1480-1526.
  10. Papailias, Fotis & Liu, Jiadong & Thomakos, Dimitrios D., 2021. "Return signal momentum," Journal of Banking & Finance, Elsevier, vol. 124(C).
  11. Liu, Zhenya & Lu, Shanglin & Wang, Shixuan, 2021. "Asymmetry, tail risk and time series momentum," International Review of Financial Analysis, Elsevier, vol. 78(C).
  12. Onishchenko, Olena & Zhao, Jing & Kongahawatte, Sampath & Kuruppuarachchi, Duminda, 2024. "Investor heterogeneity and anchoring-induced momentum," Journal of Behavioral and Experimental Finance, Elsevier, vol. 42(C).
  13. Yuanzhi Wang & Xinbei Wei & Qunzi Zhang, 2025. "Asymmetric Commodity Tails and Index Futures Returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(3), pages 247-265, March.
  14. Quanbiao Shang & Teresa Serra & Philip Garcia, 2023. "Ride the trend: Is there spread momentum profit in the US commodity markets?," Journal of Agricultural Economics, Wiley Blackwell, vol. 74(1), pages 24-47, February.
  15. Feng, Guanhao & He, Jingyu, 2022. "Factor investing: A Bayesian hierarchical approach," Journal of Econometrics, Elsevier, vol. 230(1), pages 183-200.
  16. Zhang, Junting & Liu, Haifei & Bai, Wei & Li, Xiaojing, 2024. "A hybrid approach of wavelet transform, ARIMA and LSTM model for the share price index futures forecasting," The North American Journal of Economics and Finance, Elsevier, vol. 69(PB).
  17. Kai Biehl & Franziska Disslbacher & Michael Ertl & Georg Feigl & Julia Hofmann & Markus Marterbauer & Patrick Mokre & Reinhold Russinger & Matthias Schnetzer & Jana Schultheiss & Tobias Schweitzer & T, 2020. "Der österreichische Sozialstaat in der Covid-19-Krise," Wirtschaft und Gesellschaft - WuG, Kammer für Arbeiter und Angestellte für Wien, Abteilung Wirtschaftswissenschaft und Statistik, vol. 46(4), pages 487-500.
  18. Zhang, Wei & Wang, Pengfei & Li, Yi, 2021. "Bond intraday momentum," Journal of Behavioral and Experimental Finance, Elsevier, vol. 31(C).
  19. Marius Ötting & Christian Deutscher & Carl Singleton & Luca De Angelis, 2022. "Gambling on Momentum," Economics Discussion Papers em-dp2022-10, Department of Economics, University of Reading.
    • Marius Otting & Christian Deutscher & Carl Singleton & Luca De Angelis, 2022. "Gambling on Momentum," Papers 2211.06052, arXiv.org.
  20. Wen, Danyan & Wang, Yudong & Zhang, Yaojie, 2021. "Intraday return predictability in China’s crude oil futures market: New evidence from a unique trading mechanism," Economic Modelling, Elsevier, vol. 96(C), pages 209-219.
  21. Zhong, Hao & He, Xiaoxiao & Li, Yuqi, 2024. "Is there a time-series momentum effect in the Asian crude oil futures market?," Pacific-Basin Finance Journal, Elsevier, vol. 86(C).
  22. Li, Zeming & Sakkas, Athanasios & Urquhart, Andrew, 2022. "Intraday time series momentum: Global evidence and links to market characteristics," Journal of Financial Markets, Elsevier, vol. 57(C).
  23. Markus Sihvonen, 2024. "Yield curve momentum," Review of Finance, European Finance Association, vol. 28(3), pages 805-830.
  24. Koziol, Christian & Proelss, Juliane, 2021. "An explanation for momentum with a rational model under symmetric information – Evidence from cross country equity markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 70(C).
  25. Gao, Ya & Han, Xing & Li, Youwei & Xiong, Xiong, 2021. "Investor heterogeneity and momentum-based trading strategies in China," International Review of Financial Analysis, Elsevier, vol. 74(C).
  26. repec:ags:aaea22:335655 is not listed on IDEAS
  27. Fathi, Masoumeh & Grobys, Klaus & Äijö, Janne, 2025. "A common component of Fama and French factor variances," The North American Journal of Economics and Finance, Elsevier, vol. 75(PA).
  28. Liu, Zhenya & Lu, Shanglin & Li, Bo & Wang, Shixuan, 2023. "Time series momentum and reversal: Intraday information from realized semivariance," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 54-77.
  29. Zhang, Shaojun, 2022. "Dissecting currency momentum," Journal of Financial Economics, Elsevier, vol. 144(1), pages 154-173.
  30. repec:zbw:bofrdp:2021_015 is not listed on IDEAS
  31. Simarjeet Singh & Nidhi Walia & Sivagandhi Saravanan & Preeti Jain & Avtar Singh & Jinesh jain, 2021. "Mapping the scientific research on alternative momentum investing: a bibliometric analysis," Journal of Economic and Administrative Sciences, Emerald Group Publishing Limited, vol. 38(4), pages 619-636, April.
  32. Simarjeet Singh & Nidhi Walia & Stelios Bekiros & Arushi Gupta & Jigyasu Kumar & Amar Kumar Mishra, 2022. "Risk-managed time-series momentum: an emerging economy experience," Journal of Economics, Finance and Administrative Science, Emerald Group Publishing Limited, vol. 27(54), pages 328-343, November.
  33. Fan, Minyou & Kearney, Fearghal & Li, Youwei & Liu, Jiadong, 2022. "Momentum and the Cross-section of Stock Volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).
  34. Qingyuan Han, 2025. "Understanding price momentum, market fluctuations, and crashes: insights from the extended Samuelson model," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-37, December.
  35. Sina Ehsani & Juhani T. Linnainmaa, 2022. "Factor Momentum and the Momentum Factor," Journal of Finance, American Finance Association, vol. 77(3), pages 1877-1919, June.
  36. Antico, Andrea & Bottazzi, Giulio & Giachini, Daniele, 2025. "Pricing anomalies in a general equilibrium model with biased learning," Journal of Behavioral and Experimental Finance, Elsevier, vol. 45(C).
  37. Zhang, Zhehao & Xing, Ruina & Liu, Jiajun & Shao, Yifei, 2023. "Correlation-based investment strategies: A comparison between Chinese and US stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
  38. Guijin Son & Hanwool Lee & Nahyeon Kang & Moonjeong Hahm, 2023. "Removing Non-Stationary Knowledge From Pre-Trained Language Models for Entity-Level Sentiment Classification in Finance," Papers 2301.03136, arXiv.org, revised Jan 2023.
  39. Ma, Tian & Liao, Cunfei & Jiang, Fuwei, 2024. "Factor momentum in the Chinese stock market," Journal of Empirical Finance, Elsevier, vol. 75(C).
  40. Andrew Detzel & Hong Liu & Jack Strauss & Guofu Zhou & Yingzi Zhu, 2021. "Learning and predictability via technical analysis: Evidence from bitcoin and stocks with hard‐to‐value fundamentals," Financial Management, Financial Management Association International, vol. 50(1), pages 107-137, March.
  41. Grobys, Klaus & Junttila, Juha, 2021. "Speculation and lottery-like demand in cryptocurrency markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 71(C).
  42. Ming, Lei & Song, Wuqi & Dong, Minyi, 2023. "Revisiting time series momentum in China's commodity futures market: Evidence on sources of momentum profits," Economic Modelling, Elsevier, vol. 128(C).
  43. Sommerfeldt, Nelson & Pearce, Joshua M., 2023. "Can grid-tied solar photovoltaics lead to residential heating electrification? A techno-economic case study in the midwestern U.S," Applied Energy, Elsevier, vol. 336(C).
  44. Proelss, Juliane & Schweizer, Denis & Buchwalter, Bastien, 2025. "Do risk preferences drive momentum in cryptocurrencies?," Finance Research Letters, Elsevier, vol. 73(C).
  45. Ma, Gaoping & Bouri, Elie & Xu, Yahua & Zhou, Z. Ivy, 2025. "The “night effect” of intraday trading: Evidence from Chinese gold and silver futures markets," Global Finance Journal, Elsevier, vol. 64(C).
  46. Rüdiger Weber & Annika Weber & Christine Laudenbach & Johannes Wohlfart, 2021. "Beliefs About the Stock Market and Investment Choices: Evidence from a Field Experiment," CEBI working paper series 21-17, University of Copenhagen. Department of Economics. The Center for Economic Behavior and Inequality (CEBI).
  47. Goulding, Christian L. & Harvey, Campbell R. & Mazzoleni, Michele G., 2023. "Momentum turning points," Journal of Financial Economics, Elsevier, vol. 149(3), pages 378-406.
  48. Minyou Fan & Youwei Li & Ming Liao & Jiadong Liu, 2022. "A reexamination of factor momentum: How strong is it?," The Financial Review, Eastern Finance Association, vol. 57(3), pages 585-615, August.
  49. Sihvonen, Markus, 2021. "Yield curve momentum," Research Discussion Papers 15/2021, Bank of Finland.
  50. Christine Laudenbach & Annika Weber & Johannes Wohlfart, 2021. "Beliefs About the Stock Market and Investment Choices: Evidence from a Field Experiment," ECONtribute Discussion Papers Series 128, University of Bonn and University of Cologne, Germany.
  51. Tobias Wiest, 2023. "Momentum: what do we know 30 years after Jegadeesh and Titman’s seminal paper?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(1), pages 95-114, March.
  52. Gao, Ya & Guo, Bin & Xiong, Xiong, 2021. "Signed momentum in the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
  53. Marius Ötting & Christian Deutscher & Carl Singleton & Luca De Angelis, 2023. "Gambling on Momentum in Contests," Economics Discussion Papers em-dp2023-08, Department of Economics, University of Reading.
  54. Zhang, Yu & Kappou, Konstantina & Urquhart, Andrew, 2024. "Macroeconomic momentum and cross-sectional equity market indices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 92(C).
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