RT Journal Article SR Electronic T1 Pronounced Momentum Patterns Ahead of Major Events JF The Journal of Fixed Income FD Institutional Investor Journals SP 73 OP 80 DO 10.3905/jfi.2003.319341 VO 12 IS 4 A1 Antti Ilmanen A1 Rory Byrne YR 2003 UL https://pm-research.com/content/12/4/73.abstract 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.