Research output: Contribution to journal › Article
- University of Southern California
A strategy that selects stocks based on their historical same-calendar-month returns earns an average return of 13% per year. We document similar return seasonalities in anomalies, commodities, and international stock market indices, as well as at the daily frequency. The seasonalities overwhelm unconditional differences in expected returns. The correlations between different seasonality strategies are modest, suggesting that they emanate from different systematic factors. Our results suggest that seasonalities are not a distinct class of anomalies that requires an explanation of its own, but rather that they are intertwined with other return anomalies through shared systematic factors.
|Number of pages||34|
|Journal||Journal of Finance|
|Publication status||Published - 1 Aug 2016|
|MoE publication type||A1 Journal article-refereed|