An Empirical Analysis of Factor Seasonalities

2017 Southern Finance Association Annual Meeting

Posted: 31 Jan 2017 Last revised: 9 Jun 2022

See all articles by FY Eric C Lam

FY Eric C Lam

Independent Consultant

Ya Li

Hong Kong Metropolitan University

Gordon Y. N. Tang

Hong Kong Baptist University

Jing Xu

Renmin University of China - School of Finance

Date Written: November 8, 2019

Abstract

Seasonalities in asset returns, including the January effect, the Halloween effect and the same-calendar-month effect, are widely documented in the literature. We show that a number of popular factors in the empirical asset pricing literature exhibit some well-known seasonalities. Most of the factor models we consider are able to effectively capture seasonalities in the returns of our test portfolios. Carhart four-factor performs the best in terms of explaining the seasonalities of underlying markets. It is the first attempt to empirically test Keloharju et al. (2016) hypothesis and extend it to compare asset pricing models.

Keywords: Asset pricing factors; Return seasonality; January effect; Halloween effect; Same calendar month effect

JEL Classification: G14, G31, G32, M41, M42

Suggested Citation

Lam, Full Yet Eric Campbell and Li, Ya and Tang, Gordon Y. N. and Xu, Jing, An Empirical Analysis of Factor Seasonalities (November 8, 2019). 2017 Southern Finance Association Annual Meeting, Available at SSRN: https://ssrn.com/abstract=2908720 or http://dx.doi.org/10.2139/ssrn.2908720

Full Yet Eric Campbell Lam

Independent Consultant ( email )

Ya Li (Contact Author)

Hong Kong Metropolitan University ( email )

30 Good Shepherd Street, Ho Man Tin
Hong Kong

Gordon Y. N. Tang

Hong Kong Baptist University ( email )

Dept. of Finance and Decision Sciences
Kowloon
Hong Kong
852-3411-7563 (Phone)
852-3411-5585 (Fax)

Jing Xu

Renmin University of China - School of Finance ( email )

59 Zhongguancun Street
Beijing, 100872
China

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