Cross-sectional and time-series momentum returns: Is China different?
Muhammad A. Cheema,
Mardy Chiah and
Pacific-Basin Finance Journal, 2020, vol. 64, issue C
We compare the performance of the time-series (TS) and cross-sectional (CS) momentum strategies in the US and China. The CS strategies by default are zero net investment strategies, whereas the TS strategies take on a time-varying net long position in risky assets. In the US, we confirm that the performance of the TS and CS strategies are not substantially different, as it is explained by a time-varying investment in risky assets. However, we find positive and significant return differences between the TS and CS strategies in China, after adjusting the CS strategies for a time-varying investment in risky assets. Our results suggest that in China, the difference between the performance of the TS and CS strategies might not be only limited to a time-varying investment in risky assets.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:64:y:2020:i:c:s0927538x20306703
Access Statistics for this article
Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee
More articles in Pacific-Basin Finance Journal from Elsevier
Bibliographic data for series maintained by Catherine Liu ().