Causes and seasonality of momentum profits

Research output: Contribution to journalArticle

22 Citations (Scopus)

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 2007
Externally publishedYes

Fingerprint

Institutional trading
Seasonality
Momentum profits
Momentum strategies
Tax-loss selling
Investors
Institutional investors
Stock returns
Momentum
Window dressing

ASJC Scopus subject areas

  • Finance
  • Accounting
  • Economics and Econometrics

Cite this

Causes and seasonality of momentum profits. / Sias, Richard W.

In: Financial Analysts Journal, Vol. 63, No. 2, 03.2007, p. 48-54.

Research output: Contribution to journalArticle

@article{5203fd5339d542e9bd382a61efc401cf,
title = "Causes and seasonality of momentum profits",
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.",
author = "Sias, {Richard W}",
year = "2007",
month = "3",
doi = "10.2469/faj.v63.n2.4521",
language = "English (US)",
volume = "63",
pages = "48--54",
journal = "Financial Analysts Journal",
issn = "0015-198X",
publisher = "CFA Institute",
number = "2",

}

TY - JOUR

T1 - Causes and seasonality of momentum profits

AU - Sias, Richard W

PY - 2007/3

Y1 - 2007/3

N2 - 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.

AB - 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.

UR - http://www.scopus.com/inward/record.url?scp=34247628951&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=34247628951&partnerID=8YFLogxK

U2 - 10.2469/faj.v63.n2.4521

DO - 10.2469/faj.v63.n2.4521

M3 - Article

VL - 63

SP - 48

EP - 54

JO - Financial Analysts Journal

JF - Financial Analysts Journal

SN - 0015-198X

IS - 2

ER -