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
  • [1] Uncertainty, Momentum and Profitability
    Liang, Claire Y. C.
    Tang, Zhenyang
    Xu, Xiaowei
    JOURNAL OF PORTFOLIO MANAGEMENT, 2019, 45 (04): : 91 - 104
  • [2] Gross profitability and momentum
    Bhootra, Ajay
    MANAGERIAL FINANCE, 2018, 44 (08) : 992 - 1011
  • [3] Profitability of time series momentum
    He, Xue-Zhong
    Li, Kai
    JOURNAL OF BANKING & FINANCE, 2015, 53 : 140 - 157
  • [4] Causes and seasonality of momentum profits
    Sias, Richard
    FINANCIAL ANALYSTS JOURNAL, 2007, 63 (02) : 48 - 54
  • [5] Momentum, contrarian, and the January seasonality
    Yao, Yaqiong
    JOURNAL OF BANKING & FINANCE, 2012, 36 (10) : 2757 - 2769
  • [6] Momentum in Taiwan: seasonality matters!
    Fu, Hsiao-Peng
    Wood, Andrew
    APPLIED ECONOMICS LETTERS, 2010, 17 (13) : 1247 - 1253
  • [7] Profitability of intraday and interday momentum strategies
    Lam, Vincent Wing-Shing
    Chong, Terence Tai-Leung
    Wong, Wing-Keung
    APPLIED ECONOMICS LETTERS, 2007, 14 (15) : 1103 - 1108
  • [8] Directional Herding Behaviour and Momentum Profitability
    Lin, Ming-Chin
    Lin, Yih-Bey
    Lee, Nicholas Ruei-Lin
    Hoang, Minh-Giang
    ADVANCED SCIENCE LETTERS, 2018, 24 (07) : 5153 - 5155
  • [9] Profitability of momentum strategies in Latin America
    Berggrun, Luis
    Cardona, Emilio
    Lizarzaburu, Edmundo
    INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2020, 70
  • [10] Macroeconomic risk and seasonality in momentum profits
    Ji, Xiuqing
    Martin, J. Spencer
    Yao, Yaqiong
    JOURNAL OF FINANCIAL MARKETS, 2017, 36 : 76 - 90
12345