Research Commons
      • Browse 
        • Communities & Collections
        • Titles
        • Authors
        • By Issue Date
        • Subjects
        • Types
        • Series
      • Help 
        • About
        • Collection Policy
        • OA Mandate Guidelines
        • Guidelines FAQ
        • Contact Us
      • My Account 
        • Sign In
        • Register
      View Item 
      •   Research Commons
      • University of Waikato Research
      • Management
      • Management Papers
      • View Item
      •   Research Commons
      • University of Waikato Research
      • Management
      • Management Papers
      • View Item
      JavaScript is disabled for your browser. Some features of this site may not work without it.

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

      Cheema, Muhammad A.; Nartea, Gilbert V.; Man, Yimei
      Thumbnail
      Files
      IRF_accepted_version.pdf
      Accepted version, 591.7Kb
      Find in your library  
      Citation
      Export citation
      Cheema, M. A., Nartea, G. V., & Man, Y. (2017). Cross-sectional and time-series momentum returns and market states. International Review of Finance.
      Permanent Research Commons link: https://hdl.handle.net/10289/11235
      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.
      Date
      2017
      Type
      Journal Article
      Publisher
      John Wiley & Sons Ltd.
      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.
      Collections
      • Management Papers [1125]
      Show full item record  

      Usage

      Downloads, last 12 months
      192
       
       

      Usage Statistics

      For this itemFor all of Research Commons

      The University of Waikato - Te Whare Wānanga o WaikatoFeedback and RequestsCopyright and Legal Statement