Return Seasonalities

49 Pages Posted: 25 Feb 2013 Last revised: 12 Dec 2015

See all articles by Matti Keloharju

Matti Keloharju

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

Juhani T. Linnainmaa

USC Marshall School of Business; National Bureau of Economic Research (NBER)

Peter M. Nyberg

Aalto University

Date Written: July 6, 2015


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.

Suggested Citation

Keloharju, Matti and Linnainmaa, Juhani T. and Nyberg, Peter Mikael, Return Seasonalities (July 6, 2015). Journal of Finance, Forthcoming; Fama-Miller Working Paper; Chicago Booth Research Paper No. 13-15. Available at SSRN: or

Matti Keloharju

Aalto University - School of Business ( email )

P.O. Box 21210
AALTO, FI-00076
+358 40 353 8043 (Phone)

Research Institute of Industrial Economics (IFN) ( email )

Box 55665
Grevgatan 34, 2nd floor
Stockholm, SE-102 15

Centre for Economic Policy Research (CEPR) ( email )

United Kingdom

Juhani T. Linnainmaa (Contact Author)

USC Marshall School of Business ( email )

Marshall School of Business
Los Angeles, CA 90089
United States

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

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