Basis-momentum strategies and ranking periods

Kwon, Kyung Yoon and Kang, Jangkoo and Yun, Jaesun (2021) Basis-momentum strategies and ranking periods. Finance Research Letters. 101997. ISSN 1544-6123

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    We analyze basis-momentum, the difference between the past 12 months' momentum in first- and second-nearby futures contracts suggested by Boons and Prado (2018). Since basis-momentum is related to the slope and the curvature over the ranking period, we split the 12-month ranking period into three subperiods—the current month, the past five months, and the six months before the previous five months—and construct three basis-momentums with them. Our results show that these three basis-momentums differ substantially in predicting future returns and have different economic determinants, namely, imbalance in the supply and demand and volatility risk in financial markets.

    ORCID iDs

    Kwon, Kyung Yoon ORCID logoORCID:, Kang, Jangkoo and Yun, Jaesun;