Seasonality in the cross section of factor premia
AbstractThis 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.
|Journal series||Investment Analysts Journal, ISSN 1029-3523, (A 20 pkt)|
|Publication size in sheets||1.7|
|Keywords in English||Seasonal anomalies, calendar anomalies, factor premium, asset pricing, value, momentum, size, quality, low-volatility, international equity markets, market efficiency, return predictability|
|ASJC Classification||; ;|
|Score||= 20.0, 27-03-2020, ArticleFromJournal|
|Publication indicators||= 1; : 2017 = 0.505; : 2017 = 0.71 (2) - 2017=0.735 (5)|
|Citation count*||6 (2020-09-10)|
* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.