Essays on Time Series Momentum

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isbn9789526412290.pdf (193.37 KB)

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School of Business | Doctoral thesis (article-based)
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Authors

Date

2023

Department

Rahoituksen laitos
Department of Finance

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

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https://urn.fi/URN:ISBN:978-952-64-1229-0

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[diss] Kauppakorkeakoulu / BIZ