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
July 6, 2015
Chicago Booth Research Paper No. 13-15
Fama-Miller Working Paper
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 systematic 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 systematic factors. A theory that is able to explain the risks behind any systematic factor is thus likely able to explain a part of the seasonalities.
Number of Pages in PDF File: 49
Date posted: February 25, 2013 ; Last revised: September 15, 2015
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