Turn-of-the-Year Effects on Country Stock Market Value and Momentum
June 13, 2016 - Calendar Effects, Momentum Investing, Value Premium
Does the January (turn-of-the-year) stock return anomaly affect value and momentum strategies applied at the country stock market level? In his June 2015 paper entitled “The January Seasonality and the Performance of Country-Level Value and Momentum Strategies”, Adam Zaremba investigates this question using four value and two momentum firm/stock metrics. The four value metrics, each measured over four prior… Keep Reading