Seasonality in momentum profitability

Journal article

Zhong, Anqi, Limkriangkrai, Manapon and Gray, Philip. (2014). Seasonality in momentum profitability. Journal of the Australian Society of Security Analysts.
AuthorsZhong, Anqi, Limkriangkrai, Manapon and Gray, Philip
Abstract

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.

Year2014
JournalJournal of the Australian Society of Security Analysts
PublisherFinancial Services Institute of Australasia
ISSN0313-5934
Web address (URL)https://search.proquest.com/docview/1664812184?accountid=8194
Page range6 - 10
Research GroupPeter Faber Business School
Publisher's version
File Access Level
Controlled
Place of publicationAustralia
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