Essays on Time Series Momentum

Research output: ThesisDoctoral ThesisCollection of Articles


The three essays in this dissertation are all related to the topic of time series momentum. In the first essay, my co-authors and I introduce a cross-asset extension of time series momentum that we call cross-asset time series momentum. We show that cross-asset time series momentum outperforms time series momentum, and we link the profitability of both strategies to slow-moving capital in global bond and equity markets. In the second essay, I derive a decomposition of the expected return difference between the two strategies, in order to identify precisely why cross-asset time series momentum outperforms time series momentum. Finally, in the third essay, I present a theory of time series momentum and cross-asset time series momentum that is based on the assumption that some investors have limited attention. I show that investors' limited attention can explain the profitability of both strategies, and I argue that it can also provide a theoretical microfoundation for the slow-moving capital evidence presented in the first essay.
Translated title of the contributionEssays on Time Series Momentum
Original languageEnglish
QualificationDoctor's degree
Awarding Institution
  • Aalto University
  • Suominen, Matti, Supervising Professor
  • Jylhä, Petri, Thesis Advisor
  • Lof, Matthijs, Thesis Advisor
Print ISBNs978-952-64-1228-3
Electronic ISBNs978-952-64-1229-0
Publication statusPublished - 2023
MoE publication typeG5 Doctoral dissertation (article)


  • time series momentum
  • finance


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