0000000000377057
AUTHOR
Javier Giner
Trend Following with Momentum Versus Moving Average: A Tale of Differences
Despite the ever-growing interest in trend following and a series of publications in academic journals, there is still a great shortage of theoretical results on the properties of trend following rules. Our paper fills this gap by comparing and contrasting the two most popular trend following rules, the Momentum (MOM) and Moving Average (MA) rules, from a theoretical perspective. Our approach is based on the return-based formulation of trading rules and modelling the price trends by an autoregressive return process. We provide theoretical results on the similarity between various trend following rules and the forecast accuracy of trading rules. Our results show that the similarity between t…
Time Series Momentum in the US Stock Market: Empirical Evidence and Theoretical Implications
There is much controversy in the academic literature on the presence of short-term trends in financial markets and the trend-following strategy's profitability. This paper restricts its attention to the study of time-series momentum (TSMOM) in the US stock market. The paper aims to suggest answers to several important questions regarding TSMOM and to explain the existing controversy. Our answer to the question, whether short-term trends exist, is strongly affirmative. For the first time, we suppose that the returns follow a p-order autoregressive process with p>1 and evaluate this process's parameters. Fairly accurate knowledge of the momentum generating process allows us to provide analyti…
Trend following with momentum versus moving averages: a tale of differences
Despite the ever-growing interest in trend following and a series of publications in academic journals, there is a dearth of theoretical results on the properties of trend-following rules. Our pape...
Time series momentum in the US stock market: Empirical evidence and theoretical analysis
There is much controversy in the academic literature on the presence of short-term trends in financial markets and the trend-following strategy’s profitability. We restrict our attention to studying the time series momentum in the S&P Composite stock price index. Our contributions are both empirical and theoretical. On the empirical side, we present compelling evidence of the presence of short-term momentum. For the first time, we suppose that the returns follow a -order autoregressive process and evaluate this process’s parameters. On the theoretical side, we develop a tractable theoretical model that contributes to our fundamental understanding of the trend-following strategy’s risk, retu…