Cross-asset time series momentum in the bond and equity markets - evidence from the Nordic markets
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School of Business | Bachelor's thesis
AbstractThis thesis finds cross-asset time series momentum predictability in the Nordic equity and bond markets. The results of country-specified lagged t-values of both assets show clear patterns for single and cross-asset time series predictability. In the 20-month range, lagged excess return t-values show that past bond returns are a positive predictor of equity returns and past equity returns are negative predictors of bond returns. In further tests, a diversified cross-asset time series momentum (XTSMOM) portfolio generates positive alpha with a statistically significant t-value compared to buy-and-hold to global markets and a diversified single-asset time series momentum (TSMOM) portfolio. The predictability and performance results are consistent with each other.
Thesis advisorLuotonen, Niilo
time series momentum, cross-asset predictability, asset pricing, single asset predictability