Causes and seasonality of momentum profits

Research output: Contribution to journalReview article

23 Scopus citations

Abstract

With Januaries (a month in which lagged "losers" typically outperform lagged "winners") excluded, the average monthly return to a momentum strategy for U.S. stocks was found to be 59 bps for non-quarter-ending months but 310 bps for quarter-ending months. The pattern was stronger for stocks with high levels of institutional trading and was particularly strong in December. The results suggest that window dressing by institutional investors and tax-loss selling contribute to stock return momentum. Investors using a momentum strategy should focus on quarter-ending months and securities with high levels of institutional trading.

Original languageEnglish (US)
Pages (from-to)48-54
Number of pages7
JournalFinancial Analysts Journal
Volume63
Issue number2
DOIs
StatePublished - Mar 1 2007
Externally publishedYes

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics

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