References
- Carhart, M. M. 1997. “On Persistence in Mutual Fund Performance.” Journal of Finance 52: 57. doi:10.1111/j.1540-6261.1997.tb03808.x.
- Cheema, M. A., G. Nartea, and Y. Man. 2018. “Cross-Sectional and Time-Series Momentum Returns and Market States.” International Review of Finance 18: 705–715. doi:10.1111/irfi.2018.18.issue-4.
- D’Souza, I., V. Srichanachaichok, G. Wang, and Y. Yao. 2016. “The Enduring Effect of Time-Series Momentum on Stock Returns over Nearly 100-Years.” SSRN: 2720600. doi:10.2139/ssrn.2720600.
- Goyal, A., and N. Jegadeesh. 2018. “Cross-Sectional and Time-Series Tests of Return Predictability: What Is the Difference?” The Review of Financial Studies 31: 1784–1824. doi:10.1093/rfs/hhx131.
- He, X. Z., and K. Li. 2015. “Profitability of Time Series Momentum.” Journal of Banking and Finance 53: 140–157. doi:10.1016/j.jbankfin.2014.12.017.
- Jegadeesh, N., and S. Titman. 1993. “Returns to Buying Winners and Selling Losers: Implicationsfor Stock Market Efficiency.” Journal of Finance 48: 65–91. doi:10.1111/j.1540-6261.1993.tb04702.x.
- Moskowitz, T. J., Y. H. Ooi, and L. H. Pedersen. 2012. “Time Series Momentum.” Journal of Financial Economics 104: 228–250. doi:10.1016/j.jfineco.2011.11.003.