Momentum, contrarian, and the January seasonality

Yao, Yaqiong

doi:10.1016/j.jbankfin.2011.12.004

Cited by 93 publications

(16 citation statements)

References 36 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…The difference is smaller with other choices of intermediate and recent past periods; the equal-weighted and value-weighted differences between MOM 11,7 and MOM 6,3 are only 0.07% and 0.17% per month, respectively. Our results are consistent with the findings reported in Yao (2012). Based on the raw returns of common stocks from NYSE and AMEX, Yao finds that it is the January seasonality that leads to the outperformance of the intermediate momentum strategy.…”

Section: Strategysupporting

confidence: 92%

Momentum is really short-term momentum

Gong¹,

Liu²,

Liu³

2015

Journal of Banking & Finance

View full text Add to dashboard Cite

Section: Strategysupporting

confidence: 92%

Momentum is really short-term momentum

Gong¹,

Liu²,

Liu³

2015

Journal of Banking & Finance

View full text Add to dashboard Cite

“…14 Conventional contrarian strategies require 3-5 years of ranking and holding, as opposed to the 1-12 months required by momentum strategies. MR show that the contrarian strategies of Thaler (1985, 1987), Conrad and Kaul (1998) and Yao (2012) in the stock market do not yield significant profits in commodity futures. However, the evidence in Figs.…”

Section: Momentum Profit Post-formation and The Reversal Signalmentioning

confidence: 89%

Combining momentum with reversal in commodity futures

Bianchi

Drew

Fan

2015

Journal of Banking & Finance

View full text Add to dashboard Cite

a b s t r a c tThis paper examines profitable trading strategies that jointly exploit momentum and reversal signals in commodity futures. While the single-sort momentum strategies returns 11.14% per annum, on average, a consistent reversal pattern of momentum profits is pronounced from 12 to 30 months after portfolio formation. Combining the observed reversal pattern with the momentum signal, our double-sort strategy returns 20.24% per annum, which significantly outperforms single-sort strategies. The proposed strategy is robust to seasonality effects and sample adjustments in commodity futures. The profitability of the double-sort strategy cannot be explained by standard risk factors, term structure, market volatility, investor sentiment, data-mining or transaction costs, but appears to be related to global funding liquidity. As a consequence, the double-sort strategy in commodity futures may be employed as a portfolio diversification tool.

show abstract

“…In other words, momentum is present in Asian markets, but the profitability is masked by seasonality. In a recent study, Yao (2012) states that contrarian returns are caused solely by the January effect. Once the January effect is taken into account, contrarian returns cease to exist.…”

Section: Does Survivourship Bias Matter?mentioning

confidence: 99%