Time series momentum: Evidence from the European equity market.

Darko B Vukovic, Salvatore Ingenito, Moinak Maiti

Abstract read

In one paragraph

Article in Heliyon, 2023. The graph could read no effect estimate from its abstract, so it casts no vote on the map. Cited by 1 paper.

0numbers the graph read from it

0cells of the map it votes in

1citing papers in PubMed

–field-weighted citation impact

1 · What the graph read from it

What it found

Each row is one number read from the abstract, on the scale the paper reported it, with its interval. Left of the dashed line favours the treatment, right favours the comparator. Under each row is the sentence it came from. New to these charts? A ten-minute tutorial.

The abstract states no effect estimate the extractor could read, or names no intervention and outcome on the map, so this paper lights no cell and moves no belief. It is still indexed, cited and linked below.

2 · The registry

The trial behind it

Trials whose registry record cites this paper, or whose number appears in the abstract. A trial that started after this paper was published is citing it as background, not reporting it.

Neither the registry nor the abstract names a trial number. If this is a trial report, that itself is worth knowing.

3 · Its place in the literature

Who cites it

1 citing paper in PubMed.

DMEformer: A newly designed dynamic model ensemble transformer for crude oil futures prediction.Heliyon · 2023
Article

4 · The record

Corrections and comments

PubMed lists nothing against this paper. Absence here is not a guarantee, only a check that was made.

5 · Who and what money

Authors and funding

3 authors.

Darko B VukovicInternational Laboratory for Finance and Financial Markets, Faculty of Economics, People's Friendship University of Russia (RUDN University), 6 Miklukho-Maklaya str., 117198, Moscow, Russia.

Salvatore IngenitoUniversità Cattolica del Sacro Cuore, Faculty for Banking, Finance and Insurance Sciences, Largo A. Gemelli 1, 20123, Milano, Italy.

Moinak MaitiIndependent Researcher, Kolkata, 711112, India.

Funding

No grant is acknowledged in the PubMed record.

6 · The paper itself

Abstract

This study empirically analyzes time series momentum (TSM) in the European equity market between 2000 & 2020. The study produces additional evidence on TSM where a significant and persistent market price anomaly enables investors to earn abnormal returns. To achieve this goal the present study implements a pooled autoregressive model to test the predictability power of European equity indices of future returns. The results indicate that strategies based on TSM are in line with the discussed literature and enable market agents to earn returns above the market (0.71% per month) by using a six-factor model.

Indexed as

Asset allocationAutoregressionFactor modelsPrice anomalyTime series momentum

Identifiers

PMID36711261

DOI10.1016/j.heliyon.2023.e12989

PMCPMC9879792

What OpenQuestion holds

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LicenceCC BY

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Registered trials

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Read under generation 80e0d062 · epoch 390. Bibliography from PubMed, PubMed Central and OpenAlex; grants from NIH RePORTER; trial links from ClinicalTrials.gov; estimates, votes and beliefs from the OpenQuestion graph.