Infrequent Rebalancing, Return Autocorrelation, and Seasonality

45 Pages Posted: 11 Aug 2013 Last revised: 9 Mar 2017

Date Written: December 15, 2015


A model of infrequent rebalancing can explain specific predictability patterns in the time-series and cross-section of stock returns. First, infrequent rebalancing produces return autocorrelations that are consistent with empirical evidence from intraday returns and new evidence from daily returns. Autocorrelations can switch sign and become positive at the rebalancing horizon. Second, the cross-sectional variance in expected returns is larger when more traders rebalance. This effect generates seasonality in the cross-section of stock returns, which can help explain available empirical evidence.

Keywords: infrequent rebalancing, return autocorrelation, return seasonality, dynamic equilibrium

JEL Classification: G12, D53

Suggested Citation

Bogousslavsky, Vincent, Infrequent Rebalancing, Return Autocorrelation, and Seasonality (December 15, 2015). Journal of Finance, Volume 71, Issue 6, December 2016, Pages 2967-3006, Available at SSRN: or

Vincent Bogousslavsky (Contact Author)

Boston College - Department of Finance ( email )

Carroll School of Management
140 Commonwealth Avenue
Chestnut Hill, MA 02467-3808
United States

Do you have negative results from your research you’d like to share?

Paper statistics

Abstract Views
PlumX Metrics