Seasonality in the cross-section of stock returns

  • This study explores anomalies in stock returns found in their seasonal patterns. These are verified through multiple trading strategies based on past-performance returns that require information up to 20 years in the past. Some of the presented strategies deliver relatively high performance, especially for those strategies based on returns in the same calendar month from past years. In order to minimize any possible bias due to omitted delisting returns, those are incorporated into the monthly returns. Furthermore, to find an explanation for this seasonal effect, behavioral theories are discussed and the returns are controlled for risk and mispricing factors. However, empirical evidence indicates no evidence of explanation based on these factors for the seasonal patterns. Furthermore, possible reasons why the returns persist are discussed.

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Author:Victor Krug Kovacs Borges
Place of publication:Frankfurt am Main
Referee:Julian Thimme
Document Type:Bachelor Thesis
Date of Publication (online):2018/08/15
Year of first Publication:2018
Publishing Institution:Universitätsbibliothek Johann Christian Senckenberg
Granting Institution:Johann Wolfgang Goethe-Universität
Date of final exam:2018/03/01
Release Date:2018/08/22
Tag:momentum; seasonality; stock returns; winner-loser
Page Number:37
Dewey Decimal Classification:3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft
Licence (German):License LogoDeutsches Urheberrecht