Strategy Note /
Global

FACTOR RETURNS: YEAR-END CALENDAR EFFECTS

    FactorResearch
    15 September 2021
    Published byFactorResearch
    1. Value & Size generate abnormally large positive returns in January, Momentum negative returns
    2. Abnormal returns are limited to the last week of December and first week of January
    3. Difficult to harvest these returns efficiently due to illiquidity of markets at these times