Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/287252 
Year of Publication: 
2021
Citation: 
[Journal:] Financial Markets and Portfolio Management [ISSN:] 2373-8529 [Volume:] 35 [Issue:] 2 [Publisher:] Springer US [Place:] New York, NY [Year:] 2021 [Pages:] 151-192
Publisher: 
Springer US, New York, NY
Abstract: 
This paper suggests innovative investment strategies drawing on return seasonalities. By means of an out-of-sample study of the German stock market, we report that these long–short investment strategies earn on average raw returns up to 233 basis points per month throughout two decades from 1998 to 2017. On a monthly basis, this documents an outperformance of the corresponding Heston and Sadka (J Financ Econ 87(2):418–445, 2008) strategy by 66%. This outperformance is robust in magnitude even after adjusting for common risk factors along both the three-factor Fama and French (J Financ Econ 33(1):3–56, 1993) model and the four-factor Carhart (J Finance 52(1):57–82, 1997) model. Categorizing stocks into three risk profiles lets us conclude that long–short momentum portfolios of stocks with a low-risk profile generate robust investment performance.
Subjects: 
Seasonalities
Momentum investment
Performance attribution
Autocorrelation
Forecasting returns
JEL: 
G11
G17
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version

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