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Causes and Seasonality of Momentum Profits

2007
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Release : 2007
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Book Synopsis Causes and Seasonality of Momentum Profits by : Richard W. Sias

Download or read book Causes and Seasonality of Momentum Profits written by Richard W. Sias. This book was released on 2007. 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.

Window-Dressing, Tax-Loss Selling, and Momentum Profit Seasonality

2006
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Release : 2006
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Book Synopsis Window-Dressing, Tax-Loss Selling, and Momentum Profit Seasonality by : Richard W. Sias

Download or read book Window-Dressing, Tax-Loss Selling, and Momentum Profit Seasonality written by Richard W. Sias. This book was released on 2006. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Seasonality in Momentum Profits

2016
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Release : 2016
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Book Synopsis Seasonality in Momentum Profits by : Supriya Maheshwari

Download or read book Seasonality in Momentum Profits written by Supriya Maheshwari. This book was released on 2016. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Macroeconomic Risk and Seasonality in Momentum Profits

2017
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Release : 2017
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Book Synopsis Macroeconomic Risk and Seasonality in Momentum Profits by : Susan Ji

Download or read book Macroeconomic Risk and Seasonality in Momentum Profits written by Susan Ji. This book was released on 2017. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Quantitative Momentum

2016-10-03 Business & Economics
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Release : 2016-10-03
Genre : Business & Economics
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Book Rating : 19X/5 ( reviews)

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Book Synopsis Quantitative Momentum by : Wesley R. Gray

Download or read book Quantitative Momentum written by Wesley R. Gray. This book was released on 2016-10-03. Available in PDF, EPUB and Kindle. Book excerpt: The individual investor's comprehensive guide to momentum investing Quantitative Momentum brings momentum investing out of Wall Street and into the hands of individual investors. In his last book, Quantitative Value, author Wes Gray brought systematic value strategy from the hedge funds to the masses; in this book, he does the same for momentum investing, the system that has been shown to beat the market and regularly enriches the coffers of Wall Street's most sophisticated investors. First, you'll learn what momentum investing is not: it's not 'growth' investing, nor is it an esoteric academic concept. You may have seen it used for asset allocation, but this book details the ways in which momentum stands on its own as a stock selection strategy, and gives you the expert insight you need to make it work for you. You'll dig into its behavioral psychology roots, and discover the key tactics that are bringing both institutional and individual investors flocking into the momentum fold. Systematic investment strategies always seem to look good on paper, but many fall down in practice. Momentum investing is one of the few systematic strategies with legs, withstanding the test of time and the rigor of academic investigation. This book provides invaluable guidance on constructing your own momentum strategy from the ground up. Learn what momentum is and is not Discover how momentum can beat the market Take momentum beyond asset allocation into stock selection Access the tools that ease DIY implementation The large Wall Street hedge funds tend to portray themselves as the sophisticated elite, but momentum investing allows you to 'borrow' one of their top strategies to enrich your own portfolio. Quantitative Momentum is the individual investor's guide to boosting market success with a robust momentum strategy.

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