Seasonality in momentum profitability

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    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.
    Original languageEnglish
    Pages (from-to)6 - 10
    Number of pages5
    JournalJASSA: The Finsia Journal of Applied Finance
    Issue number2
    Publication statusPublished - 2014

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