Back to Search
Start Over
A timing momentum strategy.
- Source :
- Accounting & Finance; Apr2022 Supplement S1, Vol. 62 Issue 2, p1339-1379, 41p, 10 Charts, 1 Graph
- Publication Year :
- 2022
-
Abstract
- We propose a timing momentum strategy by incorporating moving‐average signals in the price momentum and show that the proposed strategy substantially outperforms the buy‐and‐hold strategy. The performance of the timing momentum is better than that of Barroso and Santa‐Clara's (2015) constant‐volatility momentum and is identical to that of Daniel and Moskowitz's (2016) dynamic momentum. One advantage of the timing momentum is that its weights on winner and loser portfolios are lower than the other two strategies, thus leading to lower transaction costs. Further, we show that the profitability of the timing momentum is enhanced when information uncertainty is high. More importantly, the timing momentum has time‐invariant profitability across various time‐series predictors and during periods of momentum crashes. [ABSTRACT FROM AUTHOR]
- Subjects :
- TRANSACTION costs
MOMENTUM investing
INVESTMENT management
MOVING average process
Subjects
Details
- Language :
- English
- ISSN :
- 08105391
- Volume :
- 62
- Issue :
- 2
- Database :
- Complementary Index
- Journal :
- Accounting & Finance
- Publication Type :
- Academic Journal
- Accession number :
- 156083039
- Full Text :
- https://doi.org/10.1111/acfi.12825