Momentum and the Halloween Indicator: Evidence of a new seasonal pattern in momentum returns

Ajay Bhootra

Finance Research Letters, 2019, vol. 31, issue C, 26-31

Abstract: We report that momentum loser and winner portfolios earn much higher returns over November to April (winter) compared with May to October (summer). Specifically, the average monthly loser (winner) portfolio return is −0.46% (0.77%) over summer, and 1.72% (2.50%) over winter. This seasonal pattern is consistent with the relatively superior performance of the broader equity market over winter months (the “Halloween Indicator”). A modified momentum strategy designed to exploit this seasonal pattern has a much higher average return and Sharpe ratio than the conventional momentum strategy.

Keywords: Halloween Indicator; Momentum; Stock Return Seasonality (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:31:y:2019:i:c:p:26-31

DOI: 10.1016/j.frl.2019.04.013

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