Hirschey, Nicholas H.Março, João Pedro Carreto2025-03-242025-03-242024-06-142024-06-14http://hdl.handle.net/10362/181181Tax Surprise Momentum is an anomaly that can yield abnormal returns in the US market as proven by Thomas and Zhang. This report carries on from this groundbreaking work and applies it to the development of quantitative investment strategies, utilizing this signal as the main component. Several strategies are tested using this market anomaly solely and combining it with other anomalies with the intent of developing a reliable and robust strategy capable of generating satisfactory adjusted returns and alphas under different market scenarios and periods.engTax surpriseNasdaqPortfolio constructionTax momentumVolatility timingmaster thesis203901436