We propose an alternative momentum (market-dependent momentum) strategy that depends on market state (or direction) based on previous studies, but not on expected return and volatility of the basic momentum strategy. We test whether variations in momentum profits can be explained by institutional ownerships. Despite its very simple structure, market-dependent momentum exhibits an impressive performance that is close to that of Daniel and Moskowitz’s (2016) dynamic momentum. Supporting the argument of DeValut et al. (2019), we empirically show that market-dependent momentum returns for high institutional-ownership stocks are statistically higher than that for the low. The implication of our findings is that the momentum portfolio for high institutional ownerships reflects the sentiment of institutional investors and thus has a higher momentum profit, in the absence of momentum crashes and volatility management.

Key words: Market-dependent momentum, Institutional ownership, Market state, Constant volatility momentum, Dynamic momentum