Corpus ID: 33440604

Demystifying Time-Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations∗

@inproceedings{Obert2014DemystifyingTM,
  title={Demystifying Time-Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations∗},
  author={Obert and osowski},
  year={2014}
}
  • Obert, osowski
  • Published 2014
  • Motivated by the recent asset pricing literature that examines the effect of frictions on asset prices, we examine the effect of volatility estimation error, trading rule and pairwise correlations on turnover and performance of time-series momentum strategies from 1974 until 2013. Volatility estimators with desirable theoretical properties, such as range-based estimators, improve the performance of the strategies after transaction costs. Price trend-based momentum trading rules lead to the… CONTINUE READING
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