IDEAS home Printed from https://ideas.repec.org/a/ids/injbaf/v2y2010i2p176-192.html
   My bibliography  Save this article

Momentum and monthly effect: an anomaly within an anomaly!

Author

Listed:
  • Nusret Cakici
  • Sris Chatterjee

Abstract

This paper evaluates the relation between two well-known anomalies in stock returns, viz, momentum and monthly effect. The monthly effect anomaly refers to the fact that stocks earn positive average returns only during the first half of the month and zero average returns during the second half. In this paper, we show that although the monthly effect anomaly continues to hold for stocks in general (as well as for stocks grouped by size or book-to-market or other criteria), the monthly effect seems to break down for momentum portfolios. This result has implications for implementing a portfolio trading strategy based upon the momentum effect and the monthly effect. We further show that the profitability of momentum portfolios arises from the second half of the month because the monthly effect for winner and loser portfolios is asymmetric. We also examine the risk characteristics of the momentum returns. The risk-adjusted excess return (or alpha) for momentum portfolio was previously reported by other researchers as significant, but is statistically insignificant in recent years.

Suggested Citation

  • Nusret Cakici & Sris Chatterjee, 2010. "Momentum and monthly effect: an anomaly within an anomaly!," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 2(2), pages 176-192.
    • Handle: RePEc:ids:injbaf:v:2:y:2010:i:2:p:176-192
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=32854
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:injbaf:v:2:y:2010:i:2:p:176-192. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=277 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.