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dc.contributor.authorKobinger, Sonja
dc.contributor.authorBornholt, Graham
dc.contributor.authorMalin, Mirela
dc.date.accessioned2020-07-08T23:15:06Z
dc.date.available2020-07-08T23:15:06Z
dc.date.issued2020
dc.identifier.issn1042-4431
dc.identifier.doi10.1016/j.intfin.2020.101185
dc.identifier.urihttp://hdl.handle.net/10072/392190
dc.description.abstractThis paper is the first to examine the predictability of equity returns from extreme long-term past performances using a time-series approach. It builds on findings on the short-term ‘time-series momentum’ effect. The analysis is done at the individual time-series level as well as at the portfolio level. Average returns following extreme low long-term performances significantly exceed those following extreme high long-term performances for approximately half of the MSCI developed country indices, and for the country-average. Strategies exploiting the long-term ‘time-series reversal’ (TSR) effect provide superior risk-adjusted returns.
dc.description.peerreviewedYes
dc.languageEnglish
dc.language.isoeng
dc.publisherElsevier
dc.relation.ispartofpagefrom101185
dc.relation.ispartofpageto101185
dc.relation.ispartofjournalJournal of International Financial Markets, Institutions & Money
dc.subject.fieldofresearchBanking, finance and investment
dc.subject.fieldofresearchApplied economics
dc.subject.fieldofresearchcode3502
dc.subject.fieldofresearchcode3801
dc.titleLong-Term Time Series Reversal: International Evidence
dc.typeJournal article
dc.type.descriptionC1 - Articles
dcterms.bibliographicCitationKobinger, S; Bornholt, G; Malin, M, Long-Term Time Series Reversal: International Evidence, Journal of International Financial Markets, Institutions & Money, 2020, pp. 101185-101185
dcterms.licensehttp://creativecommons.org/licenses/by-nc-nd/4.0/
dc.date.updated2020-03-09T02:21:27Z
dc.description.versionAccepted Manuscript (AM)
gro.description.notepublicThis publication has been entered into Griffith Research Online as an Advanced Online Version.
gro.rights.copyright© 2020 Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International Licence, which permits unrestricted, non-commercial use, distribution and reproduction in any medium, providing that the work is properly cited.
gro.hasfulltextFull Text
gro.griffith.authorMalin, Mirela D.


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