Return Seasonalities

Research output: Contribution to journalArticleScientificpeer-review

Researchers

Research units

  • University of Southern California

Abstract

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.

Details

Original languageEnglish
Pages (from-to)1557-1590
Number of pages34
JournalJournal of Finance
Volume71
Issue number4
Publication statusPublished - 1 Aug 2016
MoE publication typeA1 Journal article-refereed

ID: 4688327