| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w20815 |
| 来源ID | Working Paper 20815 |
| Common Factors in Return Seasonalities | |
| Matti Keloharju; Juhani T. Linnainmaa; Peter Nyberg | |
| 发表日期 | 2015-01-05 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 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, international stock market indices, and 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 common factors. Our results suggest that seasonalities are not a distinct class of anomalies that requires an explanation of its own---rather, they are intertwined with other return anomalies through shared common factors. A theory that is able to explain the risks behind any common factor is thus likely able to explain a part of the seasonalities. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w20815 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/578488 |
| 推荐引用方式 GB/T 7714 | Matti Keloharju,Juhani T. Linnainmaa,Peter Nyberg. Common Factors in Return Seasonalities. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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