Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 10, 2016 erstellt
Description:
This paper investigates the presence of time-series and cross-sectional momentum profits and the relationship between these two types of profits in the Saudi Arabia stock market. Results confirm that time-series momentum and cross-sectional contrarian profits are present in this market. The presence of cross-sectional contrarian profits is stronger than that of time-series momentum profits. Cross-sectional contrarian profits are so strong that it remains even after time-series momentum and other market risk factors are considered. An observation period of three months gives the best opportunity to provide cross-sectional contrarian profits. There is a relationship between these two types of momentum profits in the short holding period, but as the holding period increases the relationship fades away