論文名稱：Time series momentum and reversal: Intraday information from realized semivariance

作者：Liu,ZY；盧尚霖；Li,B；Wang,SX

刊名：JOURNAL OF EMPIRICAL FINANCE

發(fā)表時間：2023.06

The presence of time series momentum has been widely documented in financial markets across asset classes and countries. In this study, we find a predictable pattern of the realized semivariance estimators for the returns of commodity futures, particularly during the reversals of time series momentum. Based on this finding, we propose a rule-based time series momentum strategy that has a statistically significant higher Sharpe ratio compared to the benchmark of the original time series momentum strategy in the out-of-sample data. The results are robust to different subsamples, lookback windows, volatility scaling, execution lag, and transaction cost.