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 |
| Published: |
2016
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| Online Access: | https://eprints.nottingham.ac.uk/36843/ |
| _version_ | 1848795352558206976 |
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| author | Mistry, Prachi Jaswant |
| author_facet | Mistry, Prachi Jaswant |
| author_sort | Mistry, Prachi Jaswant |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | 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 sectional momentum losses. |
| first_indexed | 2025-11-14T19:30:43Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-36843 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T19:30:43Z |
| publishDate | 2016 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-368432017-10-19T17:05:31Z https://eprints.nottingham.ac.uk/36843/ Comparative Analysis of Cross Sectional and Time Series Momentum Strategies: An Empirical Study in UK and US Equity Markets Mistry, Prachi Jaswant 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 sectional momentum losses. 2016 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/36843/1/Final%20Submission%20.pdf Mistry, Prachi Jaswant (2016) Comparative Analysis of Cross Sectional and Time Series Momentum Strategies: An Empirical Study in UK and US Equity Markets. [Dissertation (University of Nottingham only)] Investment Strategies Cross Sectional Momentum Time Series Momentum |
| spellingShingle | Investment Strategies Cross Sectional Momentum Time Series Momentum Mistry, Prachi Jaswant Comparative Analysis of Cross Sectional and Time Series Momentum Strategies: An Empirical Study in UK and US Equity Markets |
| title | Comparative Analysis of Cross Sectional and Time Series Momentum Strategies: An Empirical Study in UK and US Equity Markets |
| title_full | Comparative Analysis of Cross Sectional and Time Series Momentum Strategies: An Empirical Study in UK and US Equity Markets |
| title_fullStr | Comparative Analysis of Cross Sectional and Time Series Momentum Strategies: An Empirical Study in UK and US Equity Markets |
| title_full_unstemmed | Comparative Analysis of Cross Sectional and Time Series Momentum Strategies: An Empirical Study in UK and US Equity Markets |
| title_short | Comparative Analysis of Cross Sectional and Time Series Momentum Strategies: An Empirical Study in UK and US Equity Markets |
| title_sort | comparative analysis of cross sectional and time series momentum strategies: an empirical study in uk and us equity markets |
| topic | Investment Strategies Cross Sectional Momentum Time Series Momentum |
| url | https://eprints.nottingham.ac.uk/36843/ |