The January Seasonality and the Performance of Country-level Value and Momentum Strategies

• Autorzy: Adam Zaremba
• Języki publikacji: EN

Abstrakty

EN

The study examines the turn-of-the-year effect in the country-level value and momentum strategies. We re-examine eight distinct value and momentum strategies within 78 markets in the 1995-2015 period and we test their performance for the seasonal patterns. We find that during the last 20 years the value strategies performed particularly well in January and poor in December. On the contrary, the momentum strategies had high returns in December and low in January. These observations are consistent with the explanations of the January seasonality related to the tax loss selling and window dressing effects. (original abstract)

Słowa kluczowe

EN

International investment; Asset valuation; Seasonal character; Moment method; Momentum strategies

PL

Inwestycje międzynarodowe; Wycena aktywów; Sezonowość; Metoda momentów; Strategie momentum

• Czasopismo: Copernican Journal of Finance & Accounting
• Rocznik: 2015
• Tom: 4
• Numer: nr 2
• Strony: 195--209

Twórcy

autor

Adam Zaremba

• Poznań University of Economics, Poland

Bibliografia

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Identyfikatory

DOI

10.12775/CJFA.2015.024