International Time Series Momentum

Abstract

Moskowitz, Ooi, and Pedersen (2012, JFE) document the anomaly of times series momentum. The objective of this study is to investigate if the anomaly is robust. By analyzing an entirely independent sample covering continental Europe, this research finds that not only time series momentum exists in the region, but also their correlations are very low, only half of those of contemporaneous market movements. Thus, time series momentum is more instrumental for diversification than markets are. Further, this type of momentum exhibits a compelling seasonality of higher returns in January than in the remainder of the year.