Are monthly seasonals real? A three century perspective

Cherry Y. Zhang; Ben Jacobsen

doi:10.1093/rof/rfs035

Are monthly seasonals real? A three century perspective

Cherry Y. Zhang, Ben Jacobsen

Research output: Journal Publication › Article › peer-review

77 Citations (Scopus)

Abstract

Over 300 years of UK stock returns reveal that well-known monthly seasonals are sample specific. For instance, the January effect only emerges around 1830. Most months have had their 50 years of fame, showing the importance of long time series to safeguard against sample selection bias, noise, and data snooping. The overall conclusion is that monthly seasonals might simply be in the eye of the beholder.

Original language	English
Pages (from-to)	1743-1785
Number of pages	43
Journal	Review of Finance
Volume	17
Issue number	5
DOIs	https://doi.org/10.1093/rof/rfs035
Publication status	Published - Sept 2013
Externally published	Yes

Keywords

G10
G14

ASJC Scopus subject areas

Accounting
Finance
Economics and Econometrics

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10.1093/rof/rfs035

Cite this

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title = "Are monthly seasonals real? A three century perspective",

abstract = "Over 300 years of UK stock returns reveal that well-known monthly seasonals are sample specific. For instance, the January effect only emerges around 1830. Most months have had their 50 years of fame, showing the importance of long time series to safeguard against sample selection bias, noise, and data snooping. The overall conclusion is that monthly seasonals might simply be in the eye of the beholder.",

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AB - Over 300 years of UK stock returns reveal that well-known monthly seasonals are sample specific. For instance, the January effect only emerges around 1830. Most months have had their 50 years of fame, showing the importance of long time series to safeguard against sample selection bias, noise, and data snooping. The overall conclusion is that monthly seasonals might simply be in the eye of the beholder.

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Are monthly seasonals real? A three century perspective

Abstract

Keywords

ASJC Scopus subject areas

Access to Document

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