Are Monthly Seasonals Real? A Three Century Perspective

The Review of Finance, Forthcoming

74 Pages Posted: 26 Oct 2010 Last revised: 6 Sep 2012

See all articles by Cherry Yi Zhang

Cherry Yi Zhang

Nottingham University Business School China; Massey University - School of Economics and Finance

Ben Jacobsen

Tilburg University - TIAS School for Business and Society; Massey University

Date Written: September 6, 2012

Abstract

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.

Keywords: Historical Data, Stock Return Seasonality, January Effect, Seasonal Anomalies, Sell in May, Halloween Indicator, Tax Loss Selling

JEL Classification: G10, G14

Suggested Citation

Zhang, Cherry Yi and Jacobsen, Ben, Are Monthly Seasonals Real? A Three Century Perspective (September 6, 2012). The Review of Finance, Forthcoming. Available at SSRN: https://ssrn.com/abstract=1697861 or http://dx.doi.org/10.2139/ssrn.1697861

Cherry Yi Zhang (Contact Author)

Nottingham University Business School China ( email )

199 Taikang East Rd.
Ningbo, 315100
China

Massey University - School of Economics and Finance ( email )

New Zealand

Ben Jacobsen

Tilburg University - TIAS School for Business and Society ( email )

Warandelaan 2
TIAS Building
Tilburg, Noord Brabant 5037 AB
Netherlands

Massey University ( email )

Auckland
New Zealand

Register to save articles to
your library

Register

Paper statistics

Downloads
1,929
rank
7,114
Abstract Views
10,979
PlumX Metrics