Seasonalities in Anomalies
39 Pages Posted: 3 Feb 2015 Last revised: 8 Jul 2015
Date Written: July 1, 2015
I investigate seasonalities in a set of well-known anomalies in the cross-section of U.S. stock returns. A January seasonality goes beyond a size effect and strongly affects most anomalies, which can even switch sign in January. Return seasonality exists outside of January depending on the month of the quarter. Small stocks earn abnormally high average returns on the last day of each quarter, which significantly affects size, idiosyncratic volatility, and illiquidity portfolios. The results have strong implications for the interpretation and analysis of many anomalies, such as asset growth and momentum.
Keywords: return seasonality, asset pricing anomalies, January effect
JEL Classification: G12, G14
Suggested Citation: Suggested Citation