Return Seasonalities

• 成果类型: Article
• 署名作者: Keloharju, Matti; Linnainmaa, Juhani T.; Nyberg, Peter
• 署名单位: Aalto University; Center for Economic & Policy Research (CEPR); University of Southern California; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12398
• 发表日期: 2016
• 页码: 1557-1590
• 关键词: RECURSIVE MEAN ADJUSTMENT; stock returns; AVERAGE RETURNS; cross-section; momentum; RISK; anomalies; models; MARKET; COSTS

摘要

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.