Browsing by Subject "Momentum returns"

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Cross-sectional and time-series momentum returns and market dynamics: evidence from Japan

Cheema, Muhammad A.; Nartea, Gilbert V.; Szulczyk, Kenneth R. (Taylor & Francis (Routledge), 2017)

We test the behavioural theories of overconfidence and underreaction on cross-sectional (CS) and time-series (TS) momentum returns in the Japanese stock markets. Both CS and TS momentum returns are large and significant ...
Momentum returns, market states and financial crises. Evidence from China and Hong Kong

Cheema, Muhammad A.; Nartea, Gilbert V. (Routledge, 2017)

This chapter investigates the profitability of the momentum trading strategy in the stock exchanges of Shanghai, Shenzhen and Hong Kong over the period 1994 to 2010. Our results show that there are significantly large ...
Momentum returns, market states and market dynamics: Is China different?

Cheema, Muhammad A.; Nartea, Gilbert V. (Elsevier BV, 2017)

Recent studies suggest that momentum returns are conditioned by market states, but we find that China is different. First, we find that momentum returns in China exclusively follow DOWN markets contrary to the U.S. evidence. ...