The January seasonality and the performance of country-level value and momentum strategies
<p>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 ye...
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| Format: | Article |
| Language: | English |
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Nicolaus Copernicus University in Toruń
2015-12-01
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| Series: | Copernican Journal of Finance & Accounting |
| Subjects: | |
| Online Access: | https://apcz.umk.pl/czasopisma/index.php/CJFA/article/view/8204 |