Seasonality in the cross-section of stock returns
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 behavio...
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| Veröffentlicht in: | Journal of financial economics 2008-02, Vol.87 (2), p.418-445 |
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| container_end_page | 445 |
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| container_title | Journal of financial economics |
| container_volume | 87 |
| creator | Heston, Steven L. Sadka, Ronnie |
| description | 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 cross-sectional 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. |
| doi_str_mv | 10.1016/j.jfineco.2007.02.003 |
| format | Article |
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| ispartof | Journal of financial economics, 2008-02, Vol.87 (2), p.418-445 |
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| language | eng |
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| source | RePEc; Access via ScienceDirect (Elsevier) |
| subjects | Asset pricing Capital market Correlation analysis Cross-sectional analysis Expected returns Liquidity Market efficiency Periodicity Seasonality Stock returns Studies Volatility |
| title | Seasonality in the cross-section of stock returns |
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