Essays on Time Series Momentum

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Journal Title
Journal ISSN
Volume Title
School of Business | Doctoral thesis (article-based)
Date
2023
Major/Subject
Mcode
Degree programme
Language
en
Pages
18 + app. 70
Series
Aalto University publication series DOCTORAL THESES, 53/2023
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.
Description
Supervising professor
Suominen, Matti, Prof., Aalto University, Department of Finance, Finland
Thesis advisor
Jylhä, Petri, Associate Professor Petri, Aalto University, Finland
Lof, Matthijs, Assoc. Prof., Aalto University, Finland
Keywords
time series momentum, finance
Other note
Parts
  • [Publication 1]: Aleksi Pitkäjärvi, Matti Suominen, Lauri Vaittinen: Cross-asset signals and time series momentum.Journal of Financial Economics 136/1 (2020), pp. 63–85.
    DOI: 10.1016/j.jfineco.2019.02.011 View at publisher
  • [Publication 2]: Aleksi Pitkäjärvi: Decomposing Cross-Asset Time Series Momentum, 2022
  • [Publication 3]: Aleksi Pitkäjärvi: A Limited Attention Theory of Time Series Momentum, 2022
Citation