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Common Factors in Stock Market Seasonalities

Matti Keloharju

Aalto University

Juhani T. Linnainmaa

University of Chicago - Booth School of Business; National Bureau of Economic Research (NBER)

Peter M. Nyberg

Aalto University

October 25, 2013

Fama-Miller Working Paper
Chicago Booth Research Paper No. 13-15

A strategy that selects stocks based on their historical same-calendar month returns earns an average return of 13% per year. We develop and test two models to evaluate the source of these profits. In the first model the seasonalities arise from seasonal variation in the risk premia of common factors; in the second they are stock-specific. Our empirical results are consistent with the first model: common factors account for at least three-quarters of the seasonalities in individual stock returns, exposing seasonal investment strategies to systematic risk. The factors are largely the same as those driving the differences in average returns.

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Date posted: February 25, 2013 ; Last revised: October 26, 2013

Suggested Citation

Keloharju, Matti and Linnainmaa, Juhani T. and Nyberg, Peter M., Common Factors in Stock Market Seasonalities (October 25, 2013). Fama-Miller Working Paper; Chicago Booth Research Paper No. 13-15. Available at SSRN: http://ssrn.com/abstract=2224246 or http://dx.doi.org/10.2139/ssrn.2224246

Contact Information

Matti Keloharju
Aalto University ( email )
Runeberginkatu 22-24
Helsinki, 00100
+358 9 470 38486 (Phone)
+358 9 470 38678 (Fax)
HOME PAGE: http://www.hse.fi/EN/HKI/K/Matti_Keloharju/12_PersonalPage.htm
Juhani T. Linnainmaa (Contact Author)
University of Chicago - Booth School of Business ( email )
5807 S. Woodlawn Avenue
Chicago, IL 60637
United States
(773) 834-3176 (Phone)
(773) 753-1052 (Fax)
HOME PAGE: http://faculty.chicagobooth.edu/juhani.linnainmaa
National Bureau of Economic Research (NBER) ( email )
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Peter Mikael Nyberg
Aalto University ( email )
P.O. Box 1210
Helsinki, 00101
Feedback to SSRN

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References:  42
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