Author : Nigel J. Barradale
Release : 2015
Genre :
Kind : eBook
Book Rating : /5 ( reviews)
Book Synopsis Covering-Up When the Tide Goes Out? Momentum Seasonality and Investor Preferences by : Nigel J. Barradale
Download or read book Covering-Up When the Tide Goes Out? Momentum Seasonality and Investor Preferences written by Nigel J. Barradale. This book was released on 2015. Available in PDF, EPUB and Kindle. Book excerpt: We use the seasonal patterns in momentum returns to provide insight into investor preferences. We find the momentum factor return is much greater prior to the calendar quarter-end, especially after a stock market decline. This pattern holds more strongly for larger stocks, for both winners and losers, for the US and internationally, and especially in recent years. The established year-end seasonality is consistent with the quarterly pattern, rather than tax-loss selling. The time-series momentum of markets follows the same pattern, primarily after a market decline. The patterns imply investors prefer well-performing stocks/markets at the quarter-end, particularly in a declining market.