Momentum, Contrarian, and the January Seasonality
A 2010 paper by Yao on momentum and trend following in equities: the abstract does not mention a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“The paper demonstrates that long-term contrarian is entirely attributable to the classic January size effect, rather than to investor overreaction, as argued by De Bondt and Thaler (1985).”
AssetEquitiessingle stocks
StrategyMomentumshort-term reversal
FrequencyAnnual
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodMomentum and trend following by year
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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