Seasonality in the cross section of factor premia

Adam Zaremba

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.
Author Adam Zaremba (WZ / KIiRK)
Adam Zaremba,,
- Department of Investment and Capital Markets
Journal seriesInvestment Analysts Journal, ISSN 1029-3523, (A 20 pkt)
Issue year2017
Vol46
No3
Pages165-199
Publication size in sheets1.7
Keywords in EnglishSeasonal anomalies, calendar anomalies, factor premium, asset pricing, value, momentum, size, quality, low-volatility, international equity markets, market efficiency, return predictability
ASJC Classification1402 Accounting; 2002 Economics and Econometrics; 2003 Finance
DOIDOI:10.1080/10293523.2017.1326219
URL https://www.tandfonline.com/doi/full/10.1080/10293523.2017.1326219
Languageen angielski
Score (nominal)20
Score sourcejournalList
ScoreMinisterial score = 20.0, 27-03-2020, ArticleFromJournal
Publication indicators WoS Citations = 1; Scopus SNIP (Source Normalised Impact per Paper): 2017 = 0.505; WoS Impact Factor: 2017 = 0.71 (2) - 2017=0.735 (5)
Citation count*6 (2020-09-10)
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* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.
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