Seasonality in momentum profitability
Zhong, Anqi, Limkriangkrai, Manapon and Gray, Philip. (2014) Seasonality in momentum profitability. Journal of the Australian Society of Security Analysts.
|Authors||Zhong, Anqi, Limkriangkrai, Manapon and Gray, Philip|
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.
|Journal||Journal of the Australian Society of Security Analysts|
|Publisher||Financial Services Institute of Australasia|
|Web address (URL)||https://search.proquest.com/docview/1664812184?accountid=8194|
|Page range||6 - 10|
|Research Group||Peter Faber Business School|
File Access Level
|Place of publication||Australia|
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