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
  • [21] Momentum profitability and market trend: Evidence from REITs
    Hung, Szu-Yin Kathy
    Glascock, John L.
    JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS, 2008, 37 (01): : 51 - 69
  • [22] The Profitability of Momentum Strategies: A Study Of Indonesian Stock Exchange
    Mosii, Rakhmat Luthfiansyah
    Wibowo, Sigit S.
    INDONESIAN CAPITAL MARKET REVIEW, 2019, 11 (01) : 15 - 29
  • [23] Enhancing the profitability of earnings momentum strategies: the role of price momentum, information diffusion and earnings uncertainty
    Czaja, Marc-Gregor
    Kaufmann, Philipp
    Scholz, Hendrik
    JOURNAL OF INVESTMENT STRATEGIES, 2013, 2 (04): : 3 - 57
  • [24] Industry Herding and the Profitability of Momentum Strategies During Market Crises
    Demirer, Riza
    Zhang, Huacheng
    JOURNAL OF BEHAVIORAL FINANCE, 2019, 20 (02) : 195 - 212
  • [25] PROFITABILITY OF PRICE, EARNINGS AND REVENUE MOMENTUM STRATEGIES: THE INDIAN EVIDENCE
    Sehgal, Sanjay
    Jain, Kanu
    ASIAN ACADEMY OF MANAGEMENT JOURNAL OF ACCOUNTING AND FINANCE, 2015, 11 (01): : 47 - 84
  • [26] Empirical evidence on the profitability of momentum trading strategies using ETFs
    Yu, Susana
    Webb, Gwendolyn
    MANAGERIAL FINANCE, 2020, 46 (11) : 1321 - 1341
  • [27] IMPACTS OF OWNERSHIP CONCENTRATION AND LIQUIDITY ON STOCK MOMENTUM PROFITABILITY IN MALAYSIA
    May, Tan Yeng
    Fah, Cheng Fan
    Hassan, Taufiq
    ASIAN ACADEMY OF MANAGEMENT JOURNAL OF ACCOUNTING AND FINANCE, 2018, 14 (01): : 57 - 81
  • [28] Investment and profitability versus value and momentum: The price of residual risk
    Li, Yuming
    JOURNAL OF EMPIRICAL FINANCE, 2018, 46 : 1 - 10
  • [29] The profitability of momentum trading strategies: Empirical evidence from Hong Kong
    Cheng, Joseph W.
    Wu, Hiu-fung
    INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2010, 19 (04) : 527 - 538
  • [30] Has the current global financial crisis significantly affected momentum profitability?
    Ahmad, Ahmad
    Bino, Adel
    Tayeh, Mohammad
    COGENT BUSINESS & MANAGEMENT, 2021, 8 (01):
12345