Time-series momentum across borders : a study of price TSM in 21 countries

2013

Masteroppgave i økonomi og administrasjon - Universitetet i Agder 2013 This thesis investigates if a simple technical trading signal, based on absolute price momentum, will realize higher pro ts across market equity portfolios from 21 different countries. By looking at if the current price (Pt) exceeds a historic price (Pt-k) it determines if an investor is long in the market portfolio or a risk-free asset, the strategy is there for "long only". Hypothesis testing is conducted to find the optimal look-back period and linear regression based on the the Index-model is used to evaluate the size and validity of potential excess return. The results are encouraging, a time-series momentum trading…