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Momentum Effect and Market Conditions

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  • Jen-Sin Lee
  • Chin-Tai Kuo

Abstract

The difference in firm-level momentum effects is investigated under bullish and bearish market conditions for Chinese real estate stocks, using panel data with a least-squares dummy variable. The results suggest that the momentum effect has different patterns in different market conditions for a shorter momentum horizon and that the momentum strategy can be only implemented successfully in a bullish market.

Suggested Citation

  • Jen-Sin Lee & Chin-Tai Kuo, 2010. "Momentum Effect and Market Conditions," Chinese Economy, Taylor & Francis Journals, vol. 43(2), pages 70-94, March.
    • Handle: RePEc:mes:chinec:v:43:y:2010:i:2:p:70-94
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