The study compares the profitability of the cross sectional and time series momentum strategies across two developed markets, UK and US equity markets. We find that the cross sectional momentum strategy is not successful in the US market while the time series momentum strategy generate significant profitability in both the markets. However, the cross sectional momentum returns are found to be superior that that of the time series momentum strategy. These momentum returns are not a compensation for risk but an outcome of the behaviour of investors. An important findings of this paper is that the time series momentum strategy exhibit the ability to sustain positive returns during the “Down Markets” while the crashes magnifies the cross sectio...
This paper examines the profitability of momentum strategies implemented on international stock mark...
Recent evidence on momentum returns shows that the time-series (TS) strategy outperforms the cross-s...
Using a pooled cross-sectional time series approach, we evaluate profits of momentum strategies and ...
The study compares the profitability of the cross sectional and time series momentum strategies acro...
© 2016, © The Author(s) 2016. The study compares the performance of alternative implementations of b...
Numerous studies have found that profits that can be realised from following a momentum-based invest...
Recent evidence on momentum returns shows that the time-series (TS) strategy outperforms the cross-s...
Recent evidence on momentum returns shows that the time-series (TS) strategy outperforms the cross-s...
This thesis investigates the effects of a simple time-series momentum overlay either as a stand-alon...
Recent evidence on momentum returns shows that the time-series (TS) strategy outperforms the cross-s...
This study documents the significant profitability of “time-series momentum” strategies in individua...
The purpose of the master’s thesis is to compare and analyze momentum strategies using a broad selec...
Recent evidence on momentum returns shows that the time-series (TS) strategy outperforms the cross-s...
Recent evidence on momentum returns shows that the time-series (TS) strategy outperforms the cross-s...
The purpose of the thesis is to investigate momentum trading strategies in equity and futures market...
This paper examines the profitability of momentum strategies implemented on international stock mark...
Recent evidence on momentum returns shows that the time-series (TS) strategy outperforms the cross-s...
Using a pooled cross-sectional time series approach, we evaluate profits of momentum strategies and ...
The study compares the profitability of the cross sectional and time series momentum strategies acro...
© 2016, © The Author(s) 2016. The study compares the performance of alternative implementations of b...
Numerous studies have found that profits that can be realised from following a momentum-based invest...
Recent evidence on momentum returns shows that the time-series (TS) strategy outperforms the cross-s...
Recent evidence on momentum returns shows that the time-series (TS) strategy outperforms the cross-s...
This thesis investigates the effects of a simple time-series momentum overlay either as a stand-alon...
Recent evidence on momentum returns shows that the time-series (TS) strategy outperforms the cross-s...
This study documents the significant profitability of “time-series momentum” strategies in individua...
The purpose of the master’s thesis is to compare and analyze momentum strategies using a broad selec...
Recent evidence on momentum returns shows that the time-series (TS) strategy outperforms the cross-s...
Recent evidence on momentum returns shows that the time-series (TS) strategy outperforms the cross-s...
The purpose of the thesis is to investigate momentum trading strategies in equity and futures market...
This paper examines the profitability of momentum strategies implemented on international stock mark...
Recent evidence on momentum returns shows that the time-series (TS) strategy outperforms the cross-s...
Using a pooled cross-sectional time series approach, we evaluate profits of momentum strategies and ...