![]() G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency Event Studies Insider TradingĪllen, F. ![]() G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing Trading Volume Bond Interest Rates G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice Investment Decisions Momentum returns, cross-sectional, time-series, market states Item Type:Ĭross-Sectional and Time-Series Momentum Returns and Market States 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. In fact, we find that the TS strategy underperforms the CS strategy when the market transitions to a different state. We present new evidence that this happens only when the market continues in the same state, UP or DOWN. Recent evidence on momentum returns shows that the time-series (TS) strategy outperforms the cross-sectional (CS) strategy.
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