SEASONALITY IN momentum profitability

被引：0
|
作者：
Zhong, Anqi [1 ]
Limkriangkrai, Manapon [2 ]
Gray, Philip [2 ]
机构：
[1] Monash Univ, Dept Banking & Finance, Clayton, Vic, Australia
[2] Monash Univ, Dept Banking & Finance, Finance, Clayton, Vic, Australia
来源：
JASSA-THE FINSIA JOURNAL OF APPLIED FINANCE | 2014年 / 02期
关键词：
D O I：
暂无
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
In Australia, and around the world, momentum trading generates economically and statistically significant profits. This paper documents seasonalities in momentum profitability rather than examining returns averaged across all months. We report a strong reversal around the financial year end and apparent quarter-end seasonality in momentum profits. Preliminary tests support the hypothesis that seasonality in quarterly equity returns is driven by window dressing by institutional investors.
引用
收藏
页码：6 / 10
页数：5
相关论文
共 50 条
  • [11] Quarterly seasonality and momentum strategy implementation
    Folkinshteyn, Daniel
    Moore, Jordan
    REVIEW OF BEHAVIORAL FINANCE, 2023, 15 (01) : 38 - 54
  • [12] Profitability of momentum strategies: An evaluation of alternative explanations
    Jegadeesh, N
    Titman, S
    JOURNAL OF FINANCE, 2001, 56 (02): : 699 - 720
  • [13] Momentum profitability: the pre-CRSP evidence
    Ji, Xiuqing
    APPLIED ECONOMICS LETTERS, 2012, 19 (13) : 1223 - 1226
  • [14] Profitability of momentum strategies in the international equity markets
    Chan, K
    Hameed, A
    Tong, W
    JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 2000, 35 (02) : 153 - 172
  • [15] Profitability of momentum returns under alternative approaches
    Gupta, Kartick
    Locke, Stuart
    Scrimgeour, Frank
    INTERNATIONAL JOURNAL OF MANAGERIAL FINANCE, 2013, 9 (03) : 219 - 246
  • [16] Trend salience, investor behaviours and momentum profitability
    Hurst, Gareth
    Docherty, Paul
    PACIFIC-BASIN FINANCE JOURNAL, 2015, 35 : 471 - 484
  • [17] Seasonality and momentum across national equity markets
    Song, Jian
    Balvers, Ronald J.
    NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2022, 61
  • [18] Combining Value, Profitability, and Momentum: The Details Matter
    Cooper, Ricky
    Jiao, Zixuan
    JOURNAL OF PORTFOLIO MANAGEMENT, 2025, 51 (03): : 73 - 85
  • [19] Momentum Profitability and Market Trend: Evidence from REITs
    Szu-Yin Kathy Hung
    John L. Glascock
    The Journal of Real Estate Finance and Economics, 2008, 37 : 51 - 69
  • [20] Momentum profitability and market trend: Evidence from REITs
    Capozza, Dennis R.
    Israelsen, Ryan D.
    REAL ESTATE ECONOMICS, 2007, 35 (04) : 541 - 567
12345