The Persistence of Seasonality

The Persistence of Seasonality

Evidence from 1926 to 2009

LAP Lambert Academic Publishing ( 21.04.2011 )

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Investors and academics have long been intrigued by seasonality effects on stock returns. In this research it was tested whether any significant monthly returns persist over time. The results obtained in this research provide evidence for seasonality in stock returns during the 1926 – 2009 period. Extended analysis of persistence across time showed that monthly stock returns are in fact not persistent over longer time periods, for all portfolios except for the smallest size portfolios. The extended analysis further revealed that evidence of persistence is highly correlated with the size effect.

Детали книги:

ISBN-13:

978-3-8443-3083-0

ISBN-10:

3844330836

EAN:

9783844330830

Язык книги:

English

By (author) :

Vincent Smits

Количество страниц:

68

Опубликовано:

21.04.2011

Категория:

Экономика