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Momentum predictability in the frequency domain

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Figure  1:  Momentum  returns  (Mom_Reg)  from  April  1953  to  December  2016.  Regular  construction of momentum
Table  2  presents  the  results  of  the  predictive  regressions  B1,  B2  and  B3.
Table  3:  Comparison  between  predictive  power  of  Market  State  (MKT)  and  Market  Volatility  (Vol)  using  the  original  variables  (A1)  and  using  the  frequency-components  of  the  variables  (WAV_A1_D4)
Table 4: Comparison between predictive power of Market State (MKT), Market Volatility (Vol), Dividend Yield on the CRSP value-weighted index (DIV),  Yield Spread between Baa-rated bonds and Aaa-rated bonds (DEF), Yield Spread between ten-year Treasury bond

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