Abstract:all datasets even after adjusting for the Fama-French risk factors. However, the momentum trading strategy generates negative returns for all markets during the Global financial crisis; it appears that the momentum trading strategy fails during a financial or stock market crisis and especially in the months when the market conditions improve. I find no significant relationship between momentum returns and market states, which contradicts the results of an earlier study conducted in the U.S. market. Instead of … Show more
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