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dc.contributor.authorCheema, Muhammad A.en_NZ
dc.contributor.authorNartea, Gilbert V.en_NZ
dc.contributor.authorSzulczyk, Kenneth R.en_NZ
dc.date.accessioned2018-02-07T21:17:44Z
dc.date.available2017-11-20en_NZ
dc.date.available2018-02-07T21:17:44Z
dc.date.issued2017en_NZ
dc.identifier.citationCheema, M. A., Nartea, G. V., & Szulczyk, K. R. (2017). Cross-sectional and time-series momentum returns and market dynamics: evidence from Japan. Applied Economics. https://doi.org/10.1080/00036846.2017.1403560en
dc.identifier.issn0003-6846en_NZ
dc.identifier.urihttps://hdl.handle.net/10289/11630
dc.description.abstractWe test the behavioural theories of overconfidence and underreaction on cross-sectional (CS) and time-series (TS) momentum returns in the Japanese stock markets. Both CS and TS momentum returns are large and significant when the market continues in the same state and turns into losses when the market transitions to another state, consistent with the overconfidence but not the underreaction model. We find that TS conditional momentum returns exceed conditional CS momentum returns because of its active position since TS takes a net long (short) position following UP (DN) markets while CS is a zero-cost strategy irrespective of the market state. Finally, we find no relation between idiosyncratic volatility (IV) and momentum returns which is not supportive of either the overconfidence or underreaction model but implies that IV is not a significant limit to arbitrage in Japan.
dc.format.mimetypeapplication/pdf
dc.language.isoen
dc.publisherTaylor & Francis (Routledge)en_NZ
dc.rightsThis is an author’s accepted version of an article published in the journal: Applied Economics. © 2017 Informa UK Limited, trading as Taylor & Francis Group.
dc.subjectMomentum returns
dc.subjecttime-series
dc.subjectcross-sectional
dc.subjectmarket states
dc.subjectidiosyncratic volatility
dc.titleCross-sectional and time-series momentum returns and market dynamics: evidence from Japanen_NZ
dc.typeJournal Article
dc.identifier.doi10.1080/00036846.2017.1403560en_NZ
dc.relation.isPartOfApplied Economicsen_NZ
pubs.elements-id217240


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