Browsing by Subject "momentum returns"

Now showing items 1-3 of 3

  • Cross-sectional and time-series momentum returns and market states

    Cheema, Muhammad A.; Nartea, Gilbert V.; Man, Yimei (John Wiley & Sons Ltd., 2017)
    Recent evidence on momentum returns shows that the time-series (TS) strategy outperforms the cross-sectional (CS) strategy. We present new evidence that this happens only when the market continues in the same state, UP or ...
  • Momentum returns, market states, and market dynamics: Are Islamic stocks different?

    Cheema, Muhammad A.; Nartea, Gilbert V. (2016)
    Recent studies suggest that momentum returns are conditioned by market states and market dynamics. We ask if Islamic stocks behave differently from Non-Islamic stocks. Using data from the Malaysian stock market from 1991 ...
  • Portfolio structure and optimisation of momentum returns

    Gupta, Kartick (The University of Waikato, 2010)
    This study analyses momentum returns in 54 countries covering 34 years. It is the first study where optimising programmes are applied to momentum returns and portfolio selection. Momentum returns have remained a contentious ...