dc.contributor.author | Kobinger, Sonja | |
dc.contributor.author | Bornholt, Graham | |
dc.contributor.author | Malin, Mirela | |
dc.date.accessioned | 2020-07-08T23:15:06Z | |
dc.date.available | 2020-07-08T23:15:06Z | |
dc.date.issued | 2020 | |
dc.identifier.issn | 1042-4431 | |
dc.identifier.doi | 10.1016/j.intfin.2020.101185 | |
dc.identifier.uri | http://hdl.handle.net/10072/392190 | |
dc.description.abstract | This 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.peerreviewed | Yes | |
dc.language | English | |
dc.language.iso | eng | |
dc.publisher | Elsevier | |
dc.relation.ispartofpagefrom | 101185 | |
dc.relation.ispartofpageto | 101185 | |
dc.relation.ispartofjournal | Journal of International Financial Markets, Institutions & Money | |
dc.subject.fieldofresearch | Banking, finance and investment | |
dc.subject.fieldofresearch | Applied economics | |
dc.subject.fieldofresearchcode | 3502 | |
dc.subject.fieldofresearchcode | 3801 | |
dc.title | Long-Term Time Series Reversal: International Evidence | |
dc.type | Journal article | |
dc.type.description | C1 - Articles | |
dcterms.bibliographicCitation | Kobinger, S; Bornholt, G; Malin, M, Long-Term Time Series Reversal: International Evidence, Journal of International Financial Markets, Institutions & Money, 2020, pp. 101185-101185 | |
dcterms.license | http://creativecommons.org/licenses/by-nc-nd/4.0/ | |
dc.date.updated | 2020-03-09T02:21:27Z | |
dc.description.version | Accepted Manuscript (AM) | |
gro.description.notepublic | This 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.hasfulltext | Full Text | |
gro.griffith.author | Malin, Mirela D. | |