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Factor Returns: Year-End Calendar Effects

Momentum in December versus Value & Size in January?

Nicolas Rabener
10 min read
9 Dec 2017

SUMMARY

  • Value & Size generate abnormally large positive returns in January, Momentum negative returns
  • Abnormal returns are limited to the last week of December and first week of January
  • Difficult to harvest these returns efficiently due to illiquidity of markets at these times

INTRODUCTION

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