Are monthly seasonals real? A three century perspective

Cherry Y. Zhang, Ben Jacobsen

Research output: Journal PublicationArticlepeer-review

60 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 languageEnglish
Pages (from-to)1743-1785
Number of pages43
JournalReview of Finance
Volume17
Issue number5
DOIs
Publication statusPublished - Sep 2013
Externally publishedYes

Keywords

  • G10
  • G14

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics

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