横截面和时间序列动量回报与市场状态

ERN: Time-Series Models (Single) (Topic) Pub Date : 2017-05-03 DOI:10.1111/irfi.12148

Muhammad A. Cheema, G. Nartea, Yimei Man

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引用次数: 17

摘要

最近关于动量回报的证据表明，时间序列(TS)策略优于横截面(CS)策略。我们提出了新的证据，表明只有当市场继续处于相同的状态时，这种情况才会发生，无论是上涨还是下跌。事实上，我们发现当市场转变到不同的状态时，TS策略的表现不如CS策略。我们的研究结果还表明，TS和CS策略之间的动量回报差异与TS策略的净多头和净空头头寸有关。

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Cross‐Sectional and Time Series Momentum Returns and Market States

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.

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ERN: Time-Series Models (Single) (Topic)

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