Seasonality in the Cross Section of Factor Premia

Investment Analysts Journal, 2017, 3, 165-199

25 Pages Posted: 28 Feb 2019

See all articles by Adam Zaremba

Adam Zaremba

Montpellier Business School; Poznan University of Economics and Business

Date Written: April 19, 2017

Abstract

This study examines the seasonality effect in the cross section of factor premia representing a broad set of stock market strategies. Using cross-sectional and time-series tests, we investigated the cross-sectional seasonality of market, value, size, momentum, quality, and low-risk premia within a sample of 24 international equity markets for the years 1986–2016. We provide convincing evidence that the factors with the highest (lowest) mean returns in the same calendar months in the past continue to overperform (underperform) in seven of the studied countries: Denmark, Finland, France, Israel, Spain, Sweden, and the United States. Furthermore, when the factors in multiple countries are considered, the past same-month returns display strong predictive power for future size and low-risk premia.

Keywords: seasonal anomalies, calendar anomalies, factor premium, asset pricing, value, momentum, size, quality, low-volatility, international equity markets, market efficiency, return predictability

JEL Classification: G11, G12, G14, G15

Suggested Citation

Zaremba, Adam, Seasonality in the Cross Section of Factor Premia (April 19, 2017). Investment Analysts Journal, 2017, 3, 165-199, Available at SSRN: https://ssrn.com/abstract=3332908

Adam Zaremba (Contact Author)

Montpellier Business School ( email )

2300 Avenue des Moulins
Montpellier, Occitanie 34000
France

Poznan University of Economics and Business ( email )

al. Niepodległości 10
Poznań, 61-875
Poland

HOME PAGE: http://adamzaremba.pl

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
83
Abstract Views
446
rank
366,406
PlumX Metrics