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http://ssrn.com/abstract=2224246
 
 

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Common Factors in Stock Market 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

October 25, 2013

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 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.

Number of Pages in PDF File: 49

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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 - 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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References:  42
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