Are Monthly Seasonals Real? A Three Century Perspective
Cherry Yi Zhang
Nottingham University Business School China; Massey University - School of Economics and Finance
Tilburg University - TIAS School for Business and Society; New Zealand Institute of Advanced Study
September 6, 2012
The Review of Finance, Forthcoming
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
Date posted: October 26, 2010 ; Last revised: September 6, 2012
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