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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.

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.

The January Seasonality and the Performance of Country-Level Value and Momentum Strategies

2016
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Release : 2016
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Book Synopsis The January Seasonality and the Performance of Country-Level Value and Momentum Strategies by : Adam Zaremba

Download or read book The January Seasonality and the Performance of Country-Level Value and Momentum Strategies written by Adam Zaremba. This book was released on 2016. Available in PDF, EPUB and Kindle. Book excerpt: The study examines the turn-of-the-year effect in the country-level value and momentum strategies. We re-examine eight distinct value and momentum strategies within 78 markets in the 1995-2015 period and we test their performance for the seasonal patterns. We find that during the last 20 years the value strategies performed particularly well in January and poor in December. On the contrary, the momentum strategies had high returns in December and low in January. These observations are consistent with the explanations of the January seasonality related to the tax loss selling and window dressing effects.

Quantitative Momentum

2016-09-13 Business & Economics
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Release : 2016-09-13
Genre : Business & Economics
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Book Rating : 254/5 ( 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 2016-09-13. 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.

Covering-Up When the Tide Goes Out? Momentum Seasonality and Investor Preferences

2015
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Release : 2015
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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.

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