skip to content
Common factors in return seasonalities Preview this item
ClosePreview this item
Checking...

Common factors in return seasonalities

Author: Matti Keloharju; Juhani Linnainmaa; Peter Nyberg; National Bureau of Economic Research,
Publisher: Cambridge, Mass. : National Bureau of Economic Research, 2014.
Series: Working paper series (National Bureau of Economic Research), no. 20815.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
A strategy that selects stocks based on their historical same-calendar-month returns earns an average return of 13% per year. We document similar return seasonalities in anomalies, commodities, international stock market indices, and at the daily frequency. The seasonalities overwhelm unconditional differences in expected returns. The correlations between different seasonality strategies are modest, suggesting that  Read more...
Rating:

(not yet rated) 0 with reviews - Be the first.

Subjects
More like this

Find a copy online

Links to this item

Find a copy in the library

&AllPage.SpinnerRetrieving; Finding libraries that hold this item...

Details

Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Matti Keloharju; Juhani Linnainmaa; Peter Nyberg; National Bureau of Economic Research,
OCLC Number: 902809960
Notes: "December 2014"
Description: 1 online resource (55 pages) : illustrations.
Series Title: Working paper series (National Bureau of Economic Research), no. 20815.
Responsibility: Matti Keloharju, Juhani T. Linnainmaa, Peter Nyberg.

Abstract:

A strategy that selects stocks based on their historical same-calendar-month returns earns an average return of 13% per year. We document similar return seasonalities in anomalies, commodities, international stock market indices, and at the daily frequency. The seasonalities overwhelm unconditional differences in expected returns. The correlations between different seasonality strategies are modest, suggesting that they emanate from different common factors. Our results suggest that seasonalities are not a distinct class of anomalies that requires an explanation of its own -- rather, they are intertwined with other return anomalies through shared common factors. A theory that is able to explain the risks behind any common factor is thus likely able to explain a part of the seasonalities.

Reviews

User-contributed reviews
Retrieving GoodReads reviews...
Retrieving DOGObooks reviews...

Tags

Be the first.
Confirm this request

You may have already requested this item. Please select Ok if you would like to proceed with this request anyway.

Linked Data


Primary Entity

<http://www.worldcat.org/oclc/902809960> # Common factors in return seasonalities
    a schema:MediaObject, schema:CreativeWork, schema:Book ;
   library:oclcnum "902809960" ;
   library:placeOfPublication <http://id.loc.gov/vocabulary/countries/mau> ;
   schema:about <http://experiment.worldcat.org/entity/work/data/2285130516#Topic/rate_of_return> ; # Rate of return
   schema:about <http://experiment.worldcat.org/entity/work/data/2285130516#Topic/seasonal_variations_economics> ; # Seasonal variations (Economics)
   schema:about <http://experiment.worldcat.org/entity/work/data/2285130516#Topic/stocks_prices> ; # Stocks--Prices
   schema:author <http://experiment.worldcat.org/entity/work/data/2285130516#Person/nyberg_peter> ; # Peter Nyberg
   schema:author <http://experiment.worldcat.org/entity/work/data/2285130516#Person/keloharju_matti> ; # Matti Keloharju
   schema:author <http://experiment.worldcat.org/entity/work/data/2285130516#Person/linnainmaa_juhani> ; # Juhani Linnainmaa
   schema:bookFormat schema:EBook ;
   schema:datePublished "2014" ;
   schema:description "A strategy that selects stocks based on their historical same-calendar-month returns earns an average return of 13% per year. We document similar return seasonalities in anomalies, commodities, international stock market indices, and at the daily frequency. The seasonalities overwhelm unconditional differences in expected returns. The correlations between different seasonality strategies are modest, suggesting that they emanate from different common factors. Our results suggest that seasonalities are not a distinct class of anomalies that requires an explanation of its own -- rather, they are intertwined with other return anomalies through shared common factors. A theory that is able to explain the risks behind any common factor is thus likely able to explain a part of the seasonalities."@en ;
   schema:exampleOfWork <http://worldcat.org/entity/work/id/2285130516> ;
   schema:inLanguage "en" ;
   schema:isPartOf <http://experiment.worldcat.org/entity/work/data/2285130516#Series/working_paper_series_national_bureau_of_economic_research> ; # Working paper series (National Bureau of Economic Research) ;
   schema:isPartOf <http://experiment.worldcat.org/entity/work/data/2285130516#Series/nber_working_paper_series> ; # NBER working paper series ;
   schema:name "Common factors in return seasonalities"@en ;
   schema:productID "902809960" ;
   schema:publisher <http://experiment.worldcat.org/entity/work/data/2285130516#Organization/national_bureau_of_economic_research> ; # National Bureau of Economic Research,
   schema:url <http://www.nber.org/papers/w20815> ;
   wdrs:describedby <http://www.worldcat.org/title/-/oclc/902809960> ;
    .


Related Entities

<http://experiment.worldcat.org/entity/work/data/2285130516#Organization/national_bureau_of_economic_research> # National Bureau of Economic Research,
    a schema:Organization ;
   schema:name "National Bureau of Economic Research," ;
    .

<http://experiment.worldcat.org/entity/work/data/2285130516#Person/keloharju_matti> # Matti Keloharju
    a schema:Person ;
   schema:familyName "Keloharju" ;
   schema:givenName "Matti" ;
   schema:name "Matti Keloharju" ;
    .

<http://experiment.worldcat.org/entity/work/data/2285130516#Person/linnainmaa_juhani> # Juhani Linnainmaa
    a schema:Person ;
   schema:familyName "Linnainmaa" ;
   schema:givenName "Juhani" ;
   schema:name "Juhani Linnainmaa" ;
    .

<http://experiment.worldcat.org/entity/work/data/2285130516#Person/nyberg_peter> # Peter Nyberg
    a schema:Person ;
   schema:familyName "Nyberg" ;
   schema:givenName "Peter" ;
   schema:name "Peter Nyberg" ;
    .

<http://experiment.worldcat.org/entity/work/data/2285130516#Series/nber_working_paper_series> # NBER working paper series ;
    a bgn:PublicationSeries ;
   schema:hasPart <http://www.worldcat.org/oclc/902809960> ; # Common factors in return seasonalities
   schema:name "NBER working paper series ;" ;
    .

<http://experiment.worldcat.org/entity/work/data/2285130516#Series/working_paper_series_national_bureau_of_economic_research> # Working paper series (National Bureau of Economic Research) ;
    a bgn:PublicationSeries ;
   schema:hasPart <http://www.worldcat.org/oclc/902809960> ; # Common factors in return seasonalities
   schema:name "Working paper series (National Bureau of Economic Research) ;" ;
    .

<http://experiment.worldcat.org/entity/work/data/2285130516#Topic/seasonal_variations_economics> # Seasonal variations (Economics)
    a schema:Intangible ;
   schema:name "Seasonal variations (Economics)"@en ;
    .


Content-negotiable representations

Close Window

Please sign in to WorldCat 

Don't have an account? You can easily create a free account.