Add to ORKGIn Australia, and around the world, momentum trading generates economically and statistically significant profits. This paper documents seasonalities in momentum profitability rather than examining returns averaged across all months. We report a strong reversal around the financial year end and apparent quarter-end seasonality in momentum profits. Preliminary tests support the hypothesis that seasonality in quarterly equity returns is driven by window dressing by institutional investors
This paper examines the presence of day-of-the-week and month-of-the-year effects in the Australian ...
On the basis of raw return analysis, economically significant anomalies appear to exist in relation ...
On the basis of raw return analysis, economically significant anomalies appear to exist in relation ...
In Australia, and around the world, momentum trading generates economically and statistically signif...
This article provides further insights into the properties of momentum trading strategies using info...
This study examines the extent to which seasonal variation arises across calendar months in the perf...
We studied monthly seasonality in the top 50 Australian stocks across different industry sectors. Un...
In this paper we explore the seasonality of UK momentum returns. We find evidence of very high momen...
This paper examines the momentum returns from portfolios constructed using the NYSE-AMEX stocks. Fol...
This paper examines the momentum returns from portfolios constructed using the NYSE-AMEX stocks. Fol...
This study examines the extent to which seasonal variation arises across calendar months in the perf...
We contribute to the growing debate on the relation between macroeconomic risk and stock price momen...
A number of studies exist across a range of equity markets showing that a significant proportion of ...
[[abstract]]This paper examines the profitability of international momentum strategies. Using stock ...
In this paper, we follow Jegadeesh and Titman's (1993, Journal of Finance)\ud approach to examine 25...
This paper examines the presence of day-of-the-week and month-of-the-year effects in the Australian ...
On the basis of raw return analysis, economically significant anomalies appear to exist in relation ...
On the basis of raw return analysis, economically significant anomalies appear to exist in relation ...
In Australia, and around the world, momentum trading generates economically and statistically signif...
This article provides further insights into the properties of momentum trading strategies using info...
This study examines the extent to which seasonal variation arises across calendar months in the perf...
We studied monthly seasonality in the top 50 Australian stocks across different industry sectors. Un...
In this paper we explore the seasonality of UK momentum returns. We find evidence of very high momen...
This paper examines the momentum returns from portfolios constructed using the NYSE-AMEX stocks. Fol...
This paper examines the momentum returns from portfolios constructed using the NYSE-AMEX stocks. Fol...
This study examines the extent to which seasonal variation arises across calendar months in the perf...
We contribute to the growing debate on the relation between macroeconomic risk and stock price momen...
A number of studies exist across a range of equity markets showing that a significant proportion of ...
[[abstract]]This paper examines the profitability of international momentum strategies. Using stock ...
In this paper, we follow Jegadeesh and Titman's (1993, Journal of Finance)\ud approach to examine 25...
This paper examines the presence of day-of-the-week and month-of-the-year effects in the Australian ...
On the basis of raw return analysis, economically significant anomalies appear to exist in relation ...
On the basis of raw return analysis, economically significant anomalies appear to exist in relation ...