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Cross-Sectional and Time-Series Momentum Returns and Market States

Muhammad Cheema, Gilbert Nartea and Yimei Man

MPRA Paper from University Library of Munich, Germany

Abstract: 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.

Keywords: momentum returns; cross-sectional; time-series; market states (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 (search for similar items in EconPapers)
Date: 2017-05
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Journal Article: Cross‐Sectional and Time Series Momentum Returns and Market States (2018) Downloads
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