Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 20, 2022 erstellt
Description:
I present a model of bond and equity markets where some investors have limited attention, and show that the model generates both time series momentum and cross-asset time series momentum. The model makes several novel predictions about the performance of different time series momentum and cross-asset time series momentum strategies, and about the effects that investor attention has on strategy performance. I test the predictions using bond and equity returns from twenty countries, and find that the predictions are in line with the data