Causes and Seasonality of Momentum Profits - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Causes and Seasonality of Momentum Profits write by Richard W. Sias. This book was released on 2007. Causes and Seasonality of Momentum Profits available in PDF, EPUB and Kindle. 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.
Seasonality in Momentum Profits
Seasonality in Momentum Profits - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Seasonality in Momentum Profits write by Supriya Maheshwari. This book was released on 2016. Seasonality in Momentum Profits available in PDF, EPUB and Kindle. The paper investigates Indian momentum profitability along with its performance stability round the year using the stock price data from National Stock Exchange (NSE). Results show evidence in favor of momentum profitability over the sample period from 1997 to 2013. Moreover, the momentum performance is not specific to any particular month suggesting no influence of calendar effects on momentum anomaly in the Indian stock market. Though, momentum strategies performed differently in different calendar months, with particularly strong negative returns in the month of May. However, no statistically significant difference was observed among the mean monthly momentum returns across calendar months. Contrary to the US market findings, no January or similar April seasonality is observed in the Indian momentum profits suggesting some unique characteristics of Indian momentum profitability. In nutshell, the results from the study suggest support in favor of practical implementation of momentum strategies throughout the year in the Indian stock market.
Window-Dressing, Tax-Loss Selling, and Momentum Profit Seasonality
Window-Dressing, Tax-Loss Selling, and Momentum Profit Seasonality - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Window-Dressing, Tax-Loss Selling, and Momentum Profit Seasonality write by Richard W. Sias. This book was released on 2006. Window-Dressing, Tax-Loss Selling, and Momentum Profit Seasonality available in PDF, EPUB and Kindle. The success of momentum strategies over the past 20 years is predominately driven by the last month in each quarter. Excluding Januaries (a month in which lag losers typically outperform lag winners), the average monthly return to a momentum strategy in non-quarter-ending months is 59 basis points. Alternatively, the average monthly return to a momentum strategy for a quarter-ending month is 310 basis points. These patterns are strongest in securities with high levels of institutional ownership and in December. The results suggest that window-dressing by institutional investors and tax-loss selling contribute to stock return momentum. Investors attempting to exploit stock return momentum should focus their efforts on quarter-ending months and securities with high levels of institutional ownership.
Macroeconomic Risk and Seasonality in Momentum Profits
Macroeconomic Risk and Seasonality in Momentum Profits - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Macroeconomic Risk and Seasonality in Momentum Profits write by Susan Ji. This book was released on 2017. Macroeconomic Risk and Seasonality in Momentum Profits available in PDF, EPUB and Kindle. We contribute to the growing debate on the relation between macroeconomic risk and stock price momentum. Not only is momentum seasonal, so is its net factor exposure. We show that winners and losers only differ in macroeconomic factor loadings during January, the one month when losers overwhelmingly outperform winners. In the remainder of the year, when momentum does exist, winner and loser factor loadings offset nearly completely. Furthermore, the magnitude of macroeconomic risk premia appears to seasonally vary contra momentum. In contrast, the relatively new profitability factor does a much better job of capturing the described seasonality.
Chinese Stock Markets: A Research Handbook
Chinese Stock Markets: A Research Handbook - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Chinese Stock Markets: A Research Handbook write by Dongwei Su. This book was released on 2003-01-07. Chinese Stock Markets: A Research Handbook available in PDF, EPUB and Kindle. The exponential growth of China's stock markets in the past decade has attracted global attention from academics and practitioners. The practitioner's interest in Chinese markets stems from corporations; investors and financial institutions foresee substantial benefits from investing in China in the long run. However, the academic literature on the development of securities markets and reform of state enterprises in China is still in its infancy and fragmented. This handbook aims to bridge that gap by presenting a wide spectrum of research in the forefront of financial applications. It integrates theory and practice with state-of-the-art statistical techniques and provides numerous insights into the main challenges confronting Chinese markets in the new millennium.
