Are Monthly Seasonals Real? A Three Century Perspective
The Review of Finance, Forthcoming
74 Pages Posted: 26 Oct 2010 Last revised: 6 Sep 2012
Date Written: September 6, 2012
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: Suggested Citation