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
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