Wang, Kuei-Yuan; Jiang, Ching-Hai; Huang, Yen-Sheng - In: The International Journal of Business and Finance Research 3 (2009) 1, pp. 89-102
This paper examines the impact of market states on the profitability of momentum strategies using weekly data from the Taiwan Stock exchange over the 10-year period 1997-2006. Market states refer to the states of market such as up or down markets. In this paper, the formation period is defined...
