Essays on Time Series Momentum

Abstract

The three essays in this dissertation are all related to the topic of time series momentum. In the first essay, my co-authors and I introduce a cross-asset extension of time series momentum that we call cross-asset time series momentum. We show that cross-asset time series momentum outperforms time series momentum, and we link the profitability of both strategies to slow-moving capital in global bond and equity markets. In the second essay, I derive a decomposition of the expected return difference between the two strategies, in order to identify precisely why cross-asset time series momentum outperforms time series momentum. Finally, in the third essay, I present a theory of time series momentum and cross-asset time series momentum that is based on the assumption that some investors have limited attention. I show that investors' limited attention can explain the profitability of both strategies, and I argue that it can also provide a theoretical microfoundation for the slow-moving capital evidence presented in the first essay.