Abstract

http://ssrn.com/abstract=2224246
 
 

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Common Factors in Return Seasonalities


Matti Keloharju


Aalto University - School of Business; Research Institute of Industrial Economics (IFN); Centre for Economic Policy Research (CEPR)

Juhani T. Linnainmaa


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

Peter M. Nyberg


Aalto University

December 22, 2014

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

Abstract:     
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.

Number of Pages in PDF File: 56


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Date posted: February 25, 2013 ; Last revised: December 22, 2014

Suggested Citation

Keloharju, Matti and Linnainmaa, Juhani T. and Nyberg, Peter M., Common Factors in Return Seasonalities (December 22, 2014). 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 - School of Business ( email )
P.O. Box 21210
AALTO, FI-00076
Finland
+358 40 353 8043 (Phone)
Research Institute of Industrial Economics (IFN) ( email )
Box 55665
Grevgatan 34, 2nd floor
Stockholm, SE-102 15
Sweden
Centre for Economic Policy Research (CEPR) ( email )
77 Bastwick Street
London, EC1V 3PZ
United Kingdom
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 21210
Helsinki, 00101
Finland
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