The January seasonality and the performance of country-level value and momentum strategies

Adam Zaremba

Abstract

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.
Author Adam Zaremba (WZ / KIiRK)
Adam Zaremba,,
- Department of Investment and Capital Markets
Journal seriesCopernican Journal of Finance & Accounting, ISSN 2300-1240, e-ISSN 2300-3065, (B 7 pkt)
Issue year2015
Vol4
No2
Pages195-209
Publication size in sheets0.7
Keywords in EnglishJanuary effect, turn-of-the-year effect, value, momentum, country-level anomalies, international investments, cross section of stock returns, asset pricing
DOIDOI:10.12775/CJFA.2015.024
URL http://apcz.umk.pl/czasopisma/index.php/CJFA/article/download/CJFA.2015.024/7414
Languageen angielski
Score (nominal)7
Score sourcejournalList
ScoreMinisterial score = 7.0, 08-01-2020, ArticleFromJournal
Ministerial score (2013-2016) = 7.0, 08-01-2020, ArticleFromJournal
Citation count*12 (2020-06-25)
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