PT - JOURNAL ARTICLE AU - Antti Ilmanen AU - Rory Byrne TI - Pronounced Momentum Patterns Ahead of Major Events AID - 10.3905/jfi.2003.319341 DP - 2003 Mar 31 TA - The Journal of Fixed Income PG - 73--80 VI - 12 IP - 4 4099 - https://pm-research.com/content/12/4/73.short 4100 - https://pm-research.com/content/12/4/73.full AB - Many financial asset measures exhibit a weak continuation tendency. We show that this tendency is much more pronounced in the run-up to major events such as key macroeconomic announcements and central bank meetings. For example, the likelihood of recent yield trends continuing during the week of the U.S. payroll report release is 60% for ten-year Treasuries, compared to the 53% normal likelihood of trend continuation. There are similar pronounced continuation patterns for other bond markets and major currencies, as well as some evidence of a post-event reversal tendency. The main explanation for these regularities is behavioral. Investors tend to cut losing positions (but run winning positions) in advance of some major event.