Abstract

http://ssrn.com/abstract=1697861
 
 

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Are Monthly Seasonals Real? A Three Century Perspective


Cherry Yi Zhang


Nottingham University Business School China; Massey University - School of Economics and Finance

Ben Jacobsen


University of Edinburgh - Business School; New Zealand Institute of Advanced Study

September 6, 2012

The Review of Finance, Forthcoming

Abstract:     
Over 300 years of UK stock returns reveal that well-known monthly seasonals are sample specific. For instance, the January effect only emerges around 1830. Most months have had their 50 years of fame, showing the importance of long time series to safeguard against sample selection bias, noise, and data snooping. The overall conclusion is that monthly seasonals might simply be in the eye of the beholder.

Number of Pages in PDF File: 74

Keywords: Historical Data, Stock Return Seasonality, January Effect, Seasonal Anomalies, Sell in May, Halloween Indicator, Tax Loss Selling

JEL Classification: G10, G14

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Date posted: October 26, 2010 ; Last revised: September 6, 2012

Suggested Citation

Zhang, Cherry Yi and Jacobsen, Ben, Are Monthly Seasonals Real? A Three Century Perspective (September 6, 2012). The Review of Finance, Forthcoming. Available at SSRN: http://ssrn.com/abstract=1697861 or http://dx.doi.org/10.2139/ssrn.1697861

Contact Information

Cherry Yi Zhang (Contact Author)
Nottingham University Business School China ( email )
199 Taikang East Rd.
Ningbo, 315100
China

Massey University - School of Economics and Finance ( email )
New Zealand
Ben Jacobsen
University of Edinburgh - Business School ( email )
University of Edinburgh
29 Buccleuch Place
Edinburgh, Scotland EH8 9JS
UNITED KINGDOM
New Zealand Institute of Advanced Study ( email )
Auckland
New Zealand
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