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Time series momentum and reversal: intraday information from realized semivariance

Liu, Z., Lu, S., Li, B. and Wang, S. ORCID: (2023) Time series momentum and reversal: intraday information from realized semivariance. Journal of Empirical Finance, 72. pp. 54-77. ISSN 0927-5398

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To link to this item DOI: 10.1016/j.jempfin.2023.03.001


The presence of time series momentum has been widely documented in financial markets across asset classes and countries. In this study, we find a predictable pattern of the realized semivariance estimators for the returns of commodity futures, particularly during the reversals of time series momentum. Based on this finding, we propose a rule-based time series momentum strategy that has a statistically significant higher Sharpe ratio compared to the benchmark of the original time series momentum strategy in the out-of-sample data. The results are robust to different subsamples, lookback windows, volatility scaling, execution lag, and transaction cost.

Item Type:Article
Divisions:Arts, Humanities and Social Science > School of Politics, Economics and International Relations > Economics
ID Code:111035

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