Publicação
Seasonal momentum in equity markets: the role of calendar. Earnings nad monetary policy effects
| Resumo: | This study examines whether combining distinct seasonality drivers across macroeconomic factors such as monetary policy, microeconomic factors such as earnings announcement intensity, and historical equity return patterns can improve systematic trading performance. While the combined signal historically delivered stronger risk-adjusted returns than its individual components and a buy-and-hold benchmark, its effectiveness declines sharply in recent decades. The results suggest that those market anomalies have weakened over time, consistent with rising market efficiency. These results are in line with research showing that that return anomalies tend to diminish as they attract attention and are arbitraged away by market participants. |
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| Autores principais: | Walch, David |
| Assunto: | Calendar effects Seasonal momentum Systematic trading strategies Market efficiency Post-earnings announcement drift (PEAD) Pre-FOMC drift |
| Ano: | 2026 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade Nova de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório Institucional da UNL |
| Resumo: | This study examines whether combining distinct seasonality drivers across macroeconomic factors such as monetary policy, microeconomic factors such as earnings announcement intensity, and historical equity return patterns can improve systematic trading performance. While the combined signal historically delivered stronger risk-adjusted returns than its individual components and a buy-and-hold benchmark, its effectiveness declines sharply in recent decades. The results suggest that those market anomalies have weakened over time, consistent with rising market efficiency. These results are in line with research showing that that return anomalies tend to diminish as they attract attention and are arbitraged away by market participants. |
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