Zhong, A., Limkriangkrai, M. & Gray, P. (2014). Seasonality in momentum profitability. Journal of the Australian Society of Security Analysts,(2), 6-10. Australia: Financial Services Institute of Australasia.
In 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.
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