Comparative Analysis of Cross Sectional and Time Series Momentum Strategies: An Empirical Study in UK and US Equity Markets

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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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Bibliographic Details
Main Author:	Mistry, Prachi Jaswant
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2016
Subjects:	Investment Strategies Cross Sectional Momentum Time Series Momentum
Online Access:	https://eprints.nottingham.ac.uk/36843/

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