Momentum Effect and Market Conditions

Jen-Sin Lee and Chin-Tai Kuo

Chinese Economy, 2010, vol. 43, issue 2, 70-94

Abstract: The difference in firm-level momentum effects is investigated under bullish and bearish market conditions for Chinese real estate stocks, using panel data with a least-squares dummy variable. The results suggest that the momentum effect has different patterns in different market conditions for a shorter momentum horizon and that the momentum strategy can be only implemented successfully in a bullish market.

Date: 2010
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