西南财经大学金融研究院
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期刊发表

【Journal of Economic Dynamics and Control】Asset allocation with time series momentum and reversal

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作者:Xue-Zhong He (UTS Business School, University of Technology Sydney), 李凯 (西南财经大学金融研究院), Youwei Li (School of Management, Queen's University Belfast)


摘要:

To capture the well documented time series momentum and reversal in asset price, we develop a continuous-time asset price model, derive the optimal investment strategy theoretically, and test the strategy empirically. We show that, by combining market fundamentals and timing opportunity with respect to market trend and volatility, the optimal strategy based on time series momentum of moving averages over short-time horizons and reversal significantly outperforms, both in-sample and out-of-sample, the S&P 500 and pure strategies based on either time series momentum or reversal only. The results are robust for different time horizons, short-sale constraints, market states, investor sentiment, and market volatility.

上一条:【Journal of Economic Theory】On investor preferences and mutual fund separation 下一条:【Finance Research Letters】On the short-term predictability of stock returns: A quantile boosting approach

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