Re-examining differences between momentum and time series momentum among individual stocks

ABSTRACT

In this paper, we provide a comprehensive comparison of momentum (CSMOM) and time series momentum (TSMOM) among individual stocks in the US stock market from January 1964 to December 2015 and find that the two are distinct among individual stocks. With zero-cost strategies on both of them, we find that the explanations in Goyal and Jegadeesh (2018) cannot fully explain the differences between the performances of CSMOM strategies and TSMOM strategies.

KEYWORDS:

• Momentum
• time series momentum
• asset pricing
• anomalies

JEL CLASSIFICATION:

• G10
• G11
• G12

Disclosure statement

No potential conflict of interest was reported by the authors.

Notes

¹ Kenneth R. French’s website: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/index.html.

Additional information

Funding

This work was supported by “the Fundamental Research Funds for the Central Universities” in UIBE (18YB12).