Short-Term Momentum (Almost) Everywhere

@article{Zaremba2019ShortTermM,
  title={Short-Term Momentum (Almost) Everywhere},
  author={Adam Zaremba and Andreas S. Karathanasopoulos and Huaigang Long},
  journal={Capital Markets: Market Efficiency eJournal},
  year={2019}
}
Is there a short-term reversal effect outside the universe of individual stocks? To answer this, we investigate a comprehensive dataset of more than two centuries of returns on five major asset classes: equity indices, government bonds, treasury bills, commodities, and currencies. Contrary to stock-level evidence, we find a striking short-term momentum pattern: the most recent month’s return positively predicts future performance. The effect is not explained by established return predictors… Expand

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