Time series momentum and macroeconomic risk

How Does Capital Account Liberalization Affect Systemic Financial Risks? Evidence from China

“…Capital account liberalization mainly affects macroeconomy through direct and indirect channels [16]. Based on neoclassical economics, direct channel indicates that capital inflow will raise investment efficiency, lower investment cost, and disperse macro investment risks [17]. At the same time, however, large-scale cross-border capital flows present the characteristics of procyclicality and fluctuation [18], which causes such hazards as instability in macroeconomy and financial system of the countries of capital account liberalization [19].…”

Cross-Border Risks as an Impact Factor for International Fintech Business Models

“…In this context the conclusion is possible the responsibility of management in terms of creating a strategical approach by modelling business is highly important. Management is considered "the single most powerful individual whose attitude is likely to influence the organization's overall risk preference" [26], [27]. Such mechanisms as risk identification system are also a result of the researched influence of commercial risks, because the consequences that company could face in case of not identified and unmanaged operational risks could lead to revenue outflow and negatively affect the financial success of the current business model.…”

Evaluating investment strategies among the international financial markets

“…The time-series momentum strategy tends to be on average shorter in recessions than in booms independent of the trading signal used. Hutchinson and O'Brien (2015) found evidence that the strategy returns are connected to the business cycle. Returns are positive in both recessions and expansions, but profitability…”

“…is especially high in expansions. In order to help investors understand the drivers of profitability, Hutchinson and O'Brien (2015) explicitly test the connection between TSMOM strategies and the business cycle. Firstly, TSMOM portfolio returns exhibited statistically significant differences across the business cycle.…”

“…Such finding evidence reinforced by behavioral explanation for TSMOM profitability. Hutchinson and O'Brien (2015) focused on macroeconomic factors which been important for hedge funds and traditional portfolios, tried to employ methodologies which directly incorporated time variation in factor exposures, and provided evidence that rational asset pricing might also be important in explaining returns. According to their analysis, macroeconomy showed that following each of the six largest Financial crises in the last hundred years, there was an extended period where TSMOM performance was below average.…”