Six days explain the momentum story. Can we trade it?

Public research brief

Six trading days. A recurring need for cash. A reason for institutions to sell stocks they already want to forget.

That is the idea behind The Intramonth Momentum Cycle. Nathan, Suominen and Tasa argue that momentum profits cluster before month-end because investors raising cash disproportionately sell recent losers.

• The setup: six trading days ending four trading days before month-end, studied over 1980-2025.
• The paper's result: bottom-decile losers underperform the market by about 7.9 basis points per day inside that window, versus 0.6 outside it. These are the authors' historical portfolio results, before our implementation costs.
• The mechanism: when cash is needed, holdings with losses and disappointing performance become natural candidates for sale.

The investment question is whether the calendar adds an edge beyond simply shorting weak stocks. We examined both the published momentum factor and a portfolio built from our own equity data. They lead to different conclusions.

Our verdict: the published factor supports the timing story, but our stock-level implementation does not yet establish a tradable edge.

AI assists curation and drafting. The research status distinguishes paper reviews from house tests. Read our research approach.