Seasonality in momentum profitability

    Research output: Contribution to journalArticleResearchpeer-review

    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.
    Original languageEnglish
    Pages (from-to)6 - 10
    Number of pages5
    JournalJASSA: The Finsia Journal of Applied Finance
    Volume2014
    Issue number2
    Publication statusPublished - 2014

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