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

Last Updated on 10 February, 2024 by Rejaul Karim

https://www.youtube.com/watch?v=JoBLqPLcV14

In the realm of financial dynamics, Adam Zaremba delves into the intricate interplay of seasonal patterns in the paper “The January Seasonality and the Performance of Country-Level Value and Momentum Strategies.”

Published in the Copernican Journal of Finance & Accounting in 2015, this exploration spans 16 pages and scrutinizes the turn-of-the-year effect within country-level value and momentum strategies across 78 markets from 1995 to 2015. Zaremba’s meticulous analysis reveals intriguing patterns: value strategies shine in January but wane in December, while momentum strategies exhibit the opposite trend.

This divergence aligns with explanations rooted in the January seasonality, echoing influences from tax loss selling and window dressing effects. The study unfolds a nuanced narrative, shedding light on the dynamic interactions between seasonality and strategic performance in global financial landscapes.

Abstract Of Paper

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 paper – Download PDF

Here you can download the PDF and original paper of The January Seasonality and the Performance of Country-Level Value and Momentum Strategies.

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Author

Adam Zaremba
Montpellier Business School; Poznan University of Economics and Business

Conclusion

In conclusion, this study delves into the intricacies of the January seasonality’s impact on country-level value and momentum strategies across 78 markets from 1995 to 2015. The findings reveal a nuanced pattern, with value strategies exhibiting robust performance in January and weaker outcomes in December.

Conversely, momentum strategies showcase heightened returns in December, followed by subdued performance in January. These trends align with explanations rooted in the January seasonality, attributing them to phenomena such as tax loss selling and window dressing effects.

By scrutinizing the interplay between seasonality and investment strategies, this research adds valuable insights to the understanding of international market dynamics and the temporal nuances influencing investment outcomes.

Related Reading:

Momentum, Contrarian, and the January Seasonality

Fund and Subportfolio Momentum

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