Comparative Analysis of Cross Sectional and Time Series Momentum Strategies: An Empirical Study in UK and US Equity Markets
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 p...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
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2016
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| Online Access: | https://eprints.nottingham.ac.uk/36843/ |