This is another outstanding paper finding abnormal returns in momentum. A unique factor of this paper is the use of time series momentum rather than cross-sectional. Cross-sectional returns is a comparison of a security to its peers. That is, it's the relative return (or relative strength) of one security vs. its peers. Academic studies focusing on momentum are cross-sectional peer relative strength / momentum comparisons. For example, securities that recently outperformed their peers (over the past 3 to 12 months) continue to outperform their peers on average over the next month (up to a year).

Time series returns, or "Time Series Momentum", compares the securites own historical return.

They argue time series momentum matches up with behavioral and rational asset pricing theories.

Time Series Momentum.pdf

ABSTRACT:

We document significant "time series momentum" in equity index, currency, commodity, and bond futures for each of the 58 liquid instruments we consider. We find persistence in returns for 1 to 12 months that partially reverses over longer horizons, consistent with sentiment theories of initial under-reaction and delayed over-reaction. A diversified portfolio of time series momentum strategies across all asset classes delivers substantial abnormal returns with little exposure to standard asset pricing factors, and performs best during extreme markets. We show that the returns to time series momentum are closely linked to the trading activities of speculators and hedgers, where speculators appear to profit from it at the expense of hedgers.

A quote:

Time series momentum is related to, but different from, the phenomenon known as "momentum" in the literature, which is cross-sectional in nature. The momentum literature focuses on the relative performance of securities in the cross-section, finding that securities that recently outperformed their peers (over the past 3 to 12 months) continue to outperform their peers on average over the next month (up to a year).2 Rather than focusing on the relative returns of securities in the cross-section, time series momentum focuses purely on a security’s own past return.

“Time Series Momentum,” Tobias Moskowitz, Yao Hua Ooi, and Lasse Heje Pedersen (2010). Solicited, Journal of Financial Economics.

Source: http://pages.stern.nyu.edu/~lpederse/papers/TimeSeriesMomentum.pdf