Time series momentum: Evidence from the European equity market

被引：2

作者：

Vukovic, Darko B. ^{[1
,2
]}

Ingenito, Salvatore ^{[3
]}

Maiti, Moinak

机构：

[1] Peoples Friendship Univ Russia RUDN Univ, Fac Econ, Int Lab Finance & Financial Markets, 6 Miklukho Maklaya Str, Moscow 117198, Russia

[2] Geog Inst Jovan Cvijic SASA, Djure Jaksica 9, Belgrade 11000, Serbia

[3] Univ Cattolica Sacro Cuore, Fac Banking Finance & Insurance Sci, Largo A Gemelli 1, I-20123 Milan, Italy

来源：

HELIYON | 2023年 / 9卷 / 01期

关键词：

Time series momentum; Price anomaly; Asset allocation; Autoregression; Factor models; RETURNS; STOCKS; WINNERS; LOSERS;

D O I：

10.1016/j.heliyon.2023.e12989

中图分类号：

O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];

学科分类号：

07 ; 0710 ; 09 ;

摘要：

This study empirically analyzes time series momentum (TSM) in the European equity market between 2000 & 2020. The study produces additional evidence on TSM where a significant and persistent market price anomaly enables investors to earn abnormal returns. To achieve this goal the present study implements a pooled autoregressive model to test the predictability power of European equity indices of future returns. The results indicate that strategies based on TSM are in line with the discussed literature and enable market agents to earn returns above the market (0.71% per month) by using a six-factor model.

引用

页数：19

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