Are Seasonal Anomalies Real? A Ninety-Year Perspective

• 成果类型: Article
• 署名作者: Lakonishok, Josef; Smidt, Seymour
• 署名单位: University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; Cornell University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/1.4.403
• 发表日期: 1988
• 页码: 403
• 关键词: STOCK RETURNS; prices; volume; patterns; BEHAVIOR; taxes

摘要

This study uses 90 years of daily data on the Dow Jones Industrial Average to test for the existence of persistent seasonal patterns in the rates of return. Methodological issues regarding seasonality tests are considered. We find evidence of persistently anomalous returns around the turn of the week, around the turn of the month, around the turn of the year, and around holidays.