Causes and Seasonality of Momentum Profits

Download or read book Causes and Seasonality of Momentum Profits written by Richard W. Sias and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: With Januaries (a month in which lagged quot;losersquot; typically outperform lagged quot;winnersquot;) 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.