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

Copernican Journal of Finance & Accounting, volume 4, issue 2, pp.195-209, 2015

16 Pages Posted: 12 May 2016

See all articles by Adam Zaremba

Adam Zaremba

Poznań University of Economics and Business; University of Dubai

Date Written: June 25, 2015

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.

Keywords: January Effect; Turn-Of-The-Year Effect; Value; Momentum; Country-Level Anomalies; International Investments; Cross Section of Stock Returns; Asset Pricing

JEL Classification: G11, G12, G14, G15

Suggested Citation

Zaremba, Adam, The January Seasonality and the Performance of Country-Level Value and Momentum Strategies (June 25, 2015). Copernican Journal of Finance & Accounting, volume 4, issue 2, pp.195-209, 2015. Available at SSRN: https://ssrn.com/abstract=2778055

Adam Zaremba (Contact Author)

Poznań University of Economics and Business ( email )

al. Niepodległości 10
Poznań, 61-875
Poland

HOME PAGE: http://adamzaremba.pl

University of Dubai ( email )

Academic City
Dubai, 14143
United Arab Emirates

HOME PAGE: http://adamzaremba.pl/

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