Continuation and Reversal Months?

Posted in Calendar Effects


Are some calendar months more likely to exhibit stock market continuation or reversal than others? In other words, is absolute (intrinsic) momentum an artifact of some months or all months? To investigate, we relate U.S. stock index returns for each calendar month to those for the preceding 3, 6 and 12 months. Using monthly closes of the S&P 500 Index from December 1949 (using the January 1950 open) through April 2015 and the Russell 2000 index from September 1987 through April 2015, we find that: (more…)

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