Seasonality in the Cross-Section of Stock Returns

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Authors Steven L. Heston and Ronnie Sadka
Journal/Conference Name Journal of Accounting and Economics
Paper Category
Paper Abstract This paper presents a new pattern in the cross-section of expected stock returns. Stocks with relatively high (low) returns tend to have high (low) returns every year in the same calendar month. We recognize the annual return pattern documented in Jegadeesh (1990) at lags of 12, 24, and 36 months as part of a general pattern that lasts up to 20 annual lags, superimposed on the general momentum/reversal patterns. This pattern explains an economically and statistically significant magnitude of the cross-sectional variation in average stock returns. Volume and volatility exhibit similar seasonal patterns but they do not explain the seasonality in returns. The pattern is independent of size, industry, earnings announcements, dividends, and fiscal year. The results are consistent with the existence of a persistent seasonal effect in stock returns.
Date of publication 2006
Code Programming Language Python
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