Publicação
Seasonal momentum: calendar effects and market events
| datacite.subject.fos | Ciências Sociais::Economia e Gestão | |
| dc.contributor.advisor | Januário, Afonso | |
| dc.contributor.author | Borges, Guilherme de Lucena Sampaio Ramos | |
| dc.date.accessioned | 2026-05-27T14:15:40Z | |
| dc.date.available | 2026-05-27T14:15:40Z | |
| dc.date.issued | 2026-01-23 | |
| dc.date.submitted | 2026-01-23 | |
| dc.description.abstract | combined into a practical, low-frequency trading strategy for the U.S. equity market. Using daily S&P 500 data from 1975 to 2024, the analysis evaluates the turn-of-the-month effect, preholiday returns, Federal Reserve meeting dates, earnings intensity and seasonal expected returns. Each effect is tested individually and then integrated into a unified strategy. While individual anomalies exhibit modest and time-varying performance, their combination concentrates returns into specific trading windows and improves risk-adjusted performance relative to buy-and-hold, showing the economic importance of predictable timing patterns in equity returns. | eng |
| dc.identifier.tid | 204242347 | |
| dc.identifier.uri | http://hdl.handle.net/10362/203498 | |
| 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 | Earnings announcements | |
| dc.subject | FOMC meetings | |
| dc.title | Seasonal momentum: calendar effects and market events | 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 |