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A sectoral approach to quantile time-series momentum
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Orientador(es)
Resumo(s)
In this study the presence of time-series momentum at a quantile level is investigated across
different sectors of U.S. equities and stock indexes from 1970 to 2022 using quantile regressions. It
was found that the upper quantiles of the returns’ distribution show evidence of quantile time-series
momentum, particularly for stock indexes. The best results were observed for the 90th quantile,
with poorer results for the returns distribution’s left side quantiles The analysis was redone for the
2012-2022 period, but results were overall worse. In addition, the short-term stock reversal effect
was observed at a quantile level.
Descrição
Palavras-chave
Quantile regression Time-series momentum Stock returns Heavy tails