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.
|Pages (from-to)||6 - 10|
|Number of pages||5|
|Journal||JASSA: The Finsia Journal of Applied Finance|
|Publication status||Published - 2014|