Time series momentum in the US stock market: Empirical evidence and theoretical analysis

There is much controversy in the academic literature on presence of short-term trends financial markets and trend-following strategy’s profitability. We restrict our attention to studying time series momentum S&P Composite stock price index. Our contributions are both empirical theoretical. On side, we present compelling evidence momentum. For first time, suppose that returns follow a p-order autoregressive process evaluate this process’s parameters. theoretical develop tractable model contributes fundamental understanding risk, return, performance. Using model, also estimate power statistical tests profitability find these suffer from low problem.