Finance Professor’s Analysis on Investment Trends Picked up by MarketWatch
Nov. 27, 2019
Research on momentum profit seasonality and investment return by Richard Sias, Eller College of Management finance department head and Tyler Family Endowed Chair in Finance, was referenced in a November 26 MarketWatch column.
The column written by Mark Hulbert predicts which stocks will experience substantial growth and which will experience loss in December, based on research done on the month’s strong momentum effects. The column cites Sias’ paper, “Window-Dressing, Tax-Loss Selling, and Momentum Profit Seasonality,” published in Financial Analysts Journal, when explaining the seasonal phenomenon.
“The success of momentum strategies over the past 20 years is predominantly driven by the last month in each quarter. These patterns are strongest in securities with high levels of institutional ownership in December,” says Sias in his research. “The results suggest that window-dressing by institutional investors and tax-loss selling contribute to stock return momentum.”
Sias has been with the Eller College of Management since 2011. Before joining Eller, he was a professor at Washington State University. His areas of expertise include investments, asset pricing, investor behavior and valuation.