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Momentum, contrarian, and the January seasonality

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Momentum, contrarian, and the January seasonality. / Yao, Yaqiong .

In: Journal of Banking and Finance, Vol. 36, No. 10, 10.2012, p. 2757-2769.

Research output: Contribution to journalJournal articlepeer-review

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Yao, Y 2012, 'Momentum, contrarian, and the January seasonality', Journal of Banking and Finance, vol. 36, no. 10, pp. 2757-2769. https://doi.org/10.1016/j.jbankfin.2011.12.004

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Yao, Yaqiong . / Momentum, contrarian, and the January seasonality. In: Journal of Banking and Finance. 2012 ; Vol. 36, No. 10. pp. 2757-2769.

Bibtex

@article{a715a86ef1ef4389af22f200d752e74f,
title = "Momentum, contrarian, and the January seasonality",
abstract = "This paper reexamines the apparent success of two prominent stock trading strategies: long-term contrarian and intermediate-term momentum. The paper demonstrates that long-term contrarian is entirely attributable to the classic January size effect, rather than to investor overreaction, as argued by De Bondt and Thaler (1985). Further, the paper also resolves the Novy-Marx (2011) concern about whether return autocorrelation “is really momentum” by demonstrating that the superior performance of intermediate-term momentum is due to strong January seasonality in the cross-section of returns. The implications are that long-term contrarian must be considered largely illusory, and intermediate-term momentum must take account of annual seasonalities in returns.",
keywords = "Momentum, Contrarian, Seasonality, January",
author = "Yaqiong Yao",
year = "2012",
month = oct,
doi = "10.1016/j.jbankfin.2011.12.004",
language = "English",
volume = "36",
pages = "2757--2769",
journal = "Journal of Banking and Finance",
issn = "0378-4266",
publisher = "Elsevier",
number = "10",

}

RIS

TY - JOUR

T1 - Momentum, contrarian, and the January seasonality

AU - Yao, Yaqiong

PY - 2012/10

Y1 - 2012/10

N2 - This paper reexamines the apparent success of two prominent stock trading strategies: long-term contrarian and intermediate-term momentum. The paper demonstrates that long-term contrarian is entirely attributable to the classic January size effect, rather than to investor overreaction, as argued by De Bondt and Thaler (1985). Further, the paper also resolves the Novy-Marx (2011) concern about whether return autocorrelation “is really momentum” by demonstrating that the superior performance of intermediate-term momentum is due to strong January seasonality in the cross-section of returns. The implications are that long-term contrarian must be considered largely illusory, and intermediate-term momentum must take account of annual seasonalities in returns.

AB - This paper reexamines the apparent success of two prominent stock trading strategies: long-term contrarian and intermediate-term momentum. The paper demonstrates that long-term contrarian is entirely attributable to the classic January size effect, rather than to investor overreaction, as argued by De Bondt and Thaler (1985). Further, the paper also resolves the Novy-Marx (2011) concern about whether return autocorrelation “is really momentum” by demonstrating that the superior performance of intermediate-term momentum is due to strong January seasonality in the cross-section of returns. The implications are that long-term contrarian must be considered largely illusory, and intermediate-term momentum must take account of annual seasonalities in returns.

KW - Momentum

KW - Contrarian

KW - Seasonality

KW - January

U2 - 10.1016/j.jbankfin.2011.12.004

DO - 10.1016/j.jbankfin.2011.12.004

M3 - Journal article

VL - 36

SP - 2757

EP - 2769

JO - Journal of Banking and Finance

JF - Journal of Banking and Finance

SN - 0378-4266

IS - 10

ER -