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

Abstract
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 DOWN. In fact, we find that the TS strategy underperforms the CS strategy when the market transitions to a different state. Our results also show that the difference in momentum returns between TS and CS strategies is related to both the net long and net short positions of the TS strategy.
Type
Journal Article
Type of thesis
Series
Citation
Cheema, M. A., Nartea, G. V., & Man, Y. (2017). Cross-sectional and time-series momentum returns and market states. International Review of Finance.
Date
2017
Publisher
John Wiley & Sons Ltd.
Degree
Supervisors
Rights
This is an author’s accepted version of an article accepted for publication in the journal: International Review of Finance. © 2017 John Wiley & Sons Ltd.