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Cross sectional vs. time series momentum: return predictability in the German equity market - analysis of market dynamics and risk factors
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Resumo(s)
This study compares time-series and cross-sectional momentum strategies in the German equity
market. While both strategies produce significantly positive excess returns, time-series mo mentum delivers higher annualized returns due to its net long exposure. Incorporating this
time-varying market exposure into cross-sectional momentum eliminates most performance dif ferences. Furthermore, we find that the two strategies do not behave differently across market
states and both face elevated crash risk when considering the time-varying market exposure. We
conclude that time-series and cross-sectional momentum are variations of the same underlying
effect rather than distinct phenomena.
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Palavras-chave
Asset pricing Return predictability Volatility scaling Germany Cross sectional momentum Time series momentum Market timing