Seasonality in the cross-section of stock returns

• 成果类型: Article
• 署名作者: Heston, Steven L.; Sadka, Ronnie
• 署名单位: University of Washington; University of Washington Seattle; University System of Maryland; University of Maryland College Park
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2007.02.003
• 发表日期: 2008
• 页码: 418-445
• 关键词: Asset pricing; liquidity; market efficiency; seasonality; periodicity

摘要

This paper presents a new pattern in the cross-section of expected stock returns. Stocks tend to have relatively high (or low) returns every year in the same calendar month. We recognize the annual cross-sectional autocorrelation pattern documented in Jegadeesh [1990. Evidence of predictable behavior of security returns. Journal of Finance 45, 881-898] at lags of 12, 24, and 36 months as part of a general pattern that lasts up to 20 annual lags, superimposed on the general momentum/reversal patterns. This pattern explains an economically and statistically significant magnitude of the crosssectional variation in average stock returns. Volume and volatility exhibit similar seasonal patterns but they do not explain the seasonality in returns. The pattern is independent of size, industry, earnings announcements, dividends, and fiscal year. The results are consistent with the existence of a persistent seasonal effect in stock returns. (c) 2007 Elsevier B.V. All rights reserved.