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- W2105425903 abstract "We study the effect of market cycles on both medium-run and long-run relative strength trading strategies. We find that the payoffs over both horizons tend to be relatively higher within a market state (rising or falling markets) but substantially lower when including transitions between states. Since shorter duration strategies are relatively less likely to include market transitions, our results help reconcile the puzzling fact that relative strength strategies are profitable over the medium-run but not profitable over the long-run. Our finding include that the market's cross-sectional return dispersion both: (1) tends to be higher around market-state transitions, and (2) is negatively related to the subsequent relative-strength payoffs for both horizons." @default.
- W2105425903 created "2016-06-24" @default.
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- W2105425903 date "2012-01-01" @default.
- W2105425903 modified "2023-09-22" @default.
- W2105425903 title "Market Cycles and the Performance of Relative-Strength Strategies" @default.
- W2105425903 doi "https://doi.org/10.2139/ssrn.1940148" @default.
- W2105425903 hasPublicationYear "2012" @default.
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