DC Field | Value | Language |
---|---|---|
dc.contributor.author | Jo, Yonghwan | ko |
dc.contributor.author | Kim, Jihee | ko |
dc.date.accessioned | 2019-11-04T05:20:20Z | - |
dc.date.available | 2019-11-04T05:20:20Z | - |
dc.date.created | 2019-11-04 | - |
dc.date.created | 2019-11-04 | - |
dc.date.created | 2019-11-04 | - |
dc.date.created | 2019-11-04 | - |
dc.date.issued | 2019-11 | - |
dc.identifier.citation | ANNALS OF ECONOMICS AND FINANCE, v.20, no.2, pp.767 - 782 | - |
dc.identifier.issn | 1529-7373 | - |
dc.identifier.uri | http://hdl.handle.net/10203/268191 | - |
dc.description.abstract | In this study, we re-examine the time series momentum anomaly to address several issues raised in a previous study. We first find that there is a significant and economically meaningful time series momentum anomaly regardless of the volatility scaling method. We also show that the anomaly exists even after considering the characteristics of diversified futures markets and more factors. Lastly, we show that the time series momentum anomaly is still present until recent years. | - |
dc.language | English | - |
dc.publisher | WUHAN UNIV JOURNALS PRESS | - |
dc.title | Revisiting the Time Series Momentum Anomaly | - |
dc.type | Article | - |
dc.identifier.wosid | 000491222800012 | - |
dc.identifier.scopusid | 2-s2.0-85078232155 | - |
dc.type.rims | ART | - |
dc.citation.volume | 20 | - |
dc.citation.issue | 2 | - |
dc.citation.beginningpage | 767 | - |
dc.citation.endingpage | 782 | - |
dc.citation.publicationname | ANNALS OF ECONOMICS AND FINANCE | - |
dc.contributor.localauthor | Kim, Jihee | - |
dc.contributor.nonIdAuthor | Jo, Yonghwan | - |
dc.description.isOpenAccess | N | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | Asset pricing | - |
dc.subject.keywordAuthor | Time series momentum | - |
dc.subject.keywordAuthor | Volatility scaling | - |
dc.subject.keywordAuthor | Futures pricing | - |
dc.subject.keywordAuthor | International financial markets | - |
dc.subject.keywordPlus | HEDGING PRESSURE | - |
dc.subject.keywordPlus | RISK | - |
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