Cross-sectional and time-series momentum returns and market states
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
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.
John Wiley & Sons Ltd.
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.
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