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Causes and seasonality of momentum profits
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.
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| FAJ6302 | PSB lt.dasar - Pascasarjana | 2 |
| Penerbit | Virginia: CFA Institute 2007 |
|---|---|
| Edisi | Vol. 63, No. 2, Mar. - Apr., 2007 |
| Subjek | Window dressing institutional trading momentum profits tax-loss selling return reversals |
| ISBN/ISSN | 0015198X |
| Klasifikasi | NONE |
| Deskripsi Fisik | 7 p. |
| Info Detail Spesifik | Financial Analysts Journal |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas |