作者：EICHENBAUM, M
作者单位：National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Chicago
作者：CLARE, AD; PSARADAKIS, Z; THOMAS, SH
作者单位：Swansea University; University of Bristol
摘要：This paper examines the nature and importance of seasonal fluctuations in the UK equity market. Our analysis reveals that returns on the FT-A All Share index exhibit significant seasonality which is best described by a deterministic seasonal model. We also establish that evidence of seasonal variation is robust across size sorted portfolios and remains unaffected by the introduction of a proxy for risk.
