Cross-Sectional and Time-Series Momentum Returns : Is China Different?

We compare the performance of the time-series (TS) and cross-sectional (CS) momentum strategies in the US and China. The CS strategies by default are zero net investment strategies, whereas the TS strategies take on a time-varying net long position in risky assets. In the US, we confirm that the performance of the TS and CS strategies are not substantially different, as it is explained by a time-varying investment in risky assets. However, we find positive and significant return differences between the TS and CS strategies in China, after adjusting the CS strategies for a time-varying investment in risky assets. Our results suggest that in China, the difference between the performance of the TS and CS strategies might not be only limited to a time-varying investment in risky assets