Construct · 1 fields · 1 citations

time-series momentum: a standalone construct

One name. One construct. A landmark on the map.

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Asset pricing

the persistence of an asset's own past twelve-month excess return into the following month, found across futures markets.

In asset pricing, time-series momentum refers to the persistence of an asset's own past twelve-month excess return into the following month, found across futures markets. This meaning comes from Moskowitz (2012) in Journal of Financial Economics.[1]

Unit
Recovery means
Measured by

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Nearby constructs

asset2 fields · 2 citationsjingle · one word, two constructs momentum7 fields · 14 citationsjingle · one name, six constructs persistence4 fields · 4 citationsjingle · one word, four constructs

References

Moskowitz, T. J., Ooi, Y. H., & Pedersen, L. H. (2012). Time series momentum. Journal of Financial Economics, 104(2), 228-250. https://doi.org/10.1016/j.jfineco.2011.11.003

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