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1、JournalofFinancialEconomics104(2012)228–250ContentslistsavailableatSciVerseScienceDirectJournalofFinancialEconomicsjournalhomepage:www.elsevier.com/locate/jfec$Timeseriesmomentuma,nbb,cTobiasJ.Moskowitz,YaoHuaOoi,LasseHejePedersenaUniversityofChicagoBoothSchoolofBusinessa
2、ndNBER,UnitedStatesbAQRCapitalManagement,UnitedStatescNewYorkUniversity,CopenhagenBusinessSchool,NBER,CEPR,UnitedStatesarticleinfoabstractArticlehistory:Wedocumentsignificant‘‘timeseriesmomentum’’inequityindex,currency,commod-Received16August2010ity,andbondfuturesforeachof
3、the58liquidinstrumentsweconsider.WefindReceivedinrevisedformpersistenceinreturnsforoneto12monthsthatpartiallyreversesoverlongerhorizons,11July2011consistentwithsentimenttheoriesofinitialunder-reactionanddelayedover-reaction.Accepted12August2011Adiversifiedportfoliooftimeser
4、iesmomentumstrategiesacrossallassetclassesAvailableonline11December2011deliverssubstantialabnormalreturnswithlittleexposuretostandardassetpricingJELclassification:factorsandperformsbestduringextrememarkets.ExaminingthetradingactivitiesofG12speculatorsandhedgers,wefindthatsp
5、eculatorsprofitfromtimeseriesmomentumatG13theexpenseofhedgers.G15&2011ElsevierB.V.Allrightsreserved.F37Keywords:AssetpricingTradingvolumeFuturespricingInternationalfinancialmarketsMarketefficiency1.Introduction:atrendingwalkdownWallStreetforwardcontractsthatincludecountryequ
6、ityindexes,currencies,commodities,andsovereignbondsovermoreWedocumentanassetpricinganomalyweterm‘‘timethan25yearsofdata.Wefindthatthepast12-monthseriesmomentum,’’whichisremarkablyconsistentacrossexcessreturnofeachinstrumentisapositivepredictorofverydifferentassetclassesand
7、markets.Specifically,weitsfuturereturn.Thistimeseriesmomentumor‘‘trend’’findstrongpositivepredictabilityfromasecurity’sowneffectpersistsforaboutayearandthenpartiallyreversespastreturnsforalmostfivedozendiversefuturesandoverlongerhorizons.Thesefindingsarerobustacrossanumberofs
8、ubsamples,look-backperiods,andholdingperiods.Wefindthat12-monthtimeseriesmomentum$WethankCliffAsn
