When low beats high: Riding the sales seasonality premium

• 成果类型: Article
• 署名作者: Grullon, Gustavo; Kaba, Yamil; Nunez-Torres, Alexander
• 署名单位: Rice University; City University of New York (CUNY) System; Lehman College (CUNY)
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.06.003
• 发表日期: 2020
• 页码: 572-591
• 关键词: Asset pricing; Return predictability; seasonality; market efficiency; Product markets

摘要

This paper examines whether predictable seasonal patterns in firm fundamentals generate time variation in stock returns. Our findings indicate that stock returns are counterseasonal. Specifically, a long-short strategy of buying low-sales season stocks and shorting high-sales season stocks produces an annual alpha of 8.4% (14.5% over the last decade). This seasonal effect has a relatively high Sharpe ratio and occurs independently of previously documented seasonal anomalies. We analyze several possible hypotheses for this phenomenon. (C) 2020 Elsevier B.V. All rights reserved.