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Return Seasonalities
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.
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| The Journal of Finance | PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | : 2016 |
|---|---|
| Edisi | Vol. 71, Number 4, Aug. 2016 |
| Subjek | Market efficiency Behavioral Finance Stock Returns Calendar effects return seasonalities |
| ISBN/ISSN | 00221082 |
| Klasifikasi | NONE |
| Deskripsi Fisik | p. 1557-1590 |
| Info Detail Spesifik | The Journal of Finance |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |