As a simple example: if stock A went up a lot in 2014 and also went up a lot in 2015 it could be: (a) that Stock A is a high Beta stock and the market was up in both years. This is the cross sectional property of expected returns. Some stocks, in this case high beta stocks go up more than others when the market goes up. (b) Somehow the fact that Stock A went up the first year caused it to go up the next year. This is the intertemporal behavior of asset returns. In this case there is a true momentum effect and stocks that increase one year are likely to go up the next.