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- W3123869857 abstract "With Januaries (a month in which lagged losers typically outperform lagged winners) 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." @default.
- W3123869857 created "2021-02-01" @default.
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- W3123869857 date "2007-04-19" @default.
- W3123869857 modified "2023-09-23" @default.
- W3123869857 title "Causes and Seasonality of Momentum Profits" @default.
- W3123869857 hasPublicationYear "2007" @default.
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