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爱游戏体育app合作罗马:卢尚霖,Time series momentum and reversal: Intraday information from realized semivariance,《JOURNAL OF EMPIRICAL FINANCE》,2023.06

论文名称:Time series momentum and reversal: Intraday information from realized semivariance

作者:Liu,ZY;卢尚霖;Li,B;Wang,SX

刊名:JOURNAL OF EMPIRICAL FINANCE

发表时间:2023.06

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.


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