Cross-Sectional Analysis and Time-Series Analysis: In the Context of Past Performance-Based Investment Strategies

Abstract

The aim of this research methods case is to display not only the researcher’s experiences and decision making in designing and conducting a research paper but also the decision making involved in selecting, designing, and conducting the cross-sectional and time-series analyses within past performance-based investment strategies. This case study is based on my dissertation research paper, which examined and analyzed the difference between momentum and contrarian (i.e., reversal) portfolios constructed under cross-sectional and time-series analyses, within the commodity futures markets. I decided to examine these topics primarily because there are few studies regarding momentum and contrarian strategies within the commodity futures markets and virtually no studies on the contrast between cross-sectional analysis and time-series analysis within the momentum and contrarian strategies on the commodity markets. Cross-sectional analysis focuses on the relative performance of assets over some prior period, whereas time-series analysis focuses on the absolute performance of the assets. From reading this case, readers are expected to learn when to apply the methodology of, as well as how to design, cross-sectional analysis and time-series analysis.

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