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dc.contributor.authorCheema, Muhammad A.en_NZ
dc.contributor.authorNartea, Gilbert V.en_NZ
dc.contributor.authorMan, Yimeien_NZ
dc.date.accessioned2017-07-27T02:55:07Z
dc.date.available2017-07-18en_NZ
dc.date.available2017-07-27T02:55:07Z
dc.date.issued2017en_NZ
dc.identifier.citationCheema, M. A., Nartea, G. V., & Man, Y. (2017). Cross-sectional and time-series momentum returns and market states. International Review of Finance.en
dc.identifier.issn1369-412Xen_NZ
dc.identifier.urihttps://hdl.handle.net/10289/11235
dc.description.abstractRecent 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.
dc.format.mimetypeapplication/pdf
dc.language.isoen
dc.publisherJohn Wiley & Sons Ltd.en_NZ
dc.rightsThis is an author’s accepted version of an article accepted for publication in the journal: International Review of Finance. © 2017 John Wiley & Sons Ltd.
dc.subjectmomentum returnsen_NZ
dc.subjectmarket statesen_NZ
dc.subjecttime-seriesen_NZ
dc.subjectcross-sectionalen_NZ
dc.titleCross-sectional and time-series momentum returns and market statesen_NZ
dc.typeJournal Article
dc.relation.isPartOfInternational Review of Financeen_NZ
pubs.elements-id200111


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