Cross-sectional and time-series momentum returns and market dynamics: evidence from Japan

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Cross-sectional and time-series momentum returns and market dynamics: evidence from Japan

© 2017 Informa UK Limited, trading as Taylor & Francis Group We test the behavioural theories of overconfidence and underreaction on cross-sectional (CS) and time-series (TS) momentum returns in the Japanese stock markets. Both CS and TS momentum returns are large and significant when the mark...

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Bibliographic Details
Main Authors:	Cheema, M., Nartea, G., Szulczyk, Kenneth
Format:	Journal Article
Published:	Routledge 2017
Online Access:	http://hdl.handle.net/20.500.11937/66365

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