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.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 48-54 |
| Number of pages | 7 |
| Journal | Financial Analysts Journal |
| Volume | 63 |
| Issue number | 2 |
| DOIs | |
| State | Published - Mar 2007 |
| Externally published | Yes |
ASJC Scopus subject areas
- Accounting
- Finance
- Economics and Econometrics