Time series momentum: Evidence from the European equity market

This study empirically analyzes time series momentum (TSM) in the European equity market between 2000 & 2020. The study produces additional evidence on TSM where a significant and persistent market price anomaly enables investors to earn abnormal returns. To achieve this goal the present study implements a pooled autoregressive model to test the predictability power of European equity indices of future returns. The results indicate that strategies based on TSM are in line with the discussed literature and enable market agents to earn returns above the market (0.71% per month) by using a six-factor model.

• Publication year

  2023

• Venue

  Heliyon

• Publication date

  2023-01-01

• Fields of study

  Medicine, Business, Economics

• Identifiers
  DOI 10.1016/j.heliyon.2023.e12989PMID 36711261PMCID 9879792
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar, PubMed

• No claims are published for this paper.

• No concepts are published for this paper.

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