International Momentum Strategies and Seasonal Effects

[[abstract]]This paper examines the profitability of international momentum strategies. Using stock market index data from 21 developed and 18 emerging markets over the July 1992 to October 2008 period, we find the profitability of international momentum trading strategies in both developed and emerging markets. Furthermore, we also find that the patterns of international momentum profits in the developed markets confirm the view of tax-loss selling hypothesis. Otherwise, institutional window dressing does not play a substantial role in international momentum strategies