Publicação
Seasonal momentum in equity markets: the role of calendar. Earnings nad monetary policy effects
| datacite.subject.fos | Ciências Sociais::Economia e Gestão | |
| dc.contributor.advisor | Januário, Afonso | |
| dc.contributor.author | Walch, David | |
| dc.date.accessioned | 2026-05-29T09:08:10Z | |
| dc.date.available | 2026-05-29T09:08:10Z | |
| dc.date.issued | 2026-01-23 | |
| dc.date.submitted | 2026-01-23 | |
| dc.description.abstract | 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. | eng |
| dc.identifier.tid | 204242517 | |
| dc.identifier.uri | http://hdl.handle.net/10362/203567 | |
| dc.language.iso | eng | |
| dc.relation | UID/00124/2025 | |
| dc.rights.uri | http://creativecommons.org/licenses/by/4.0/ | |
| dc.subject | Calendar effects | |
| dc.subject | Seasonal momentum | |
| dc.subject | Systematic trading strategies | |
| dc.subject | Market efficiency | |
| dc.subject | Post-earnings announcement drift (PEAD) | |
| dc.subject | Pre-FOMC drift | |
| dc.title | Seasonal momentum in equity markets: the role of calendar. Earnings nad monetary policy effects | eng |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| thesis.degree.name | A Work Project, presented as part of the requirements for the Award of a Master’s degree in Business Analytics from the Nova School of Business and Economics |