Quarterly Seasonality in U.S. Stock Returns

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dc.contributor Aalto University en
dc.contributor Aalto-yliopisto fi
dc.contributor.advisor Nyberg, Peter
dc.contributor.author Sormunen, Eero
dc.date.accessioned 2018-06-29T10:10:30Z
dc.date.available 2018-06-29T10:10:30Z
dc.date.issued 2018
dc.identifier.uri https://aaltodoc.aalto.fi/handle/123456789/32535
dc.description.abstract This Thesis proves a quarterly seasonality pattern in U.S. stock returns: stock’s expected return in a given month t is correlated with its returns in past lagged quarterend months i.e. months t-3,6,9,…. Strategies based on quarterend lags outperform those based on past returns of all months. Unlike in the case past returns in general, the correlation between the stock price and quarterend lags does not reverse after the most recent past year. Indeed, the quarterend lags do not seem to contribute to long-term return reversal phenomena. The return pattern is strong. A zero-investment strategy investing based on the returns of the past four quarterends yields on average 1.25% per month in the period of 1946-2016 and is both more profitable and less risky than a traditional momentum portfolio during the same period. Returns of zero-investment quarterend portfolios are significantly positive in all tested formation intervals up to lagged 20 years. Quarterly seasonality cannot be solely explained by the annual seasonality found by Heston and Sadka (2008) but portfolios based on nonannual quarterend lags still yield higher returns than other strategies. The quarterend pattern is stronger in value weighted returns but also exists in equal weighted portfolios. Controlling for firm-specific events of the calendar year like earnings announcements and ex-dividend dates does not diminish the superiority of quarterend strategies, nor are their returns tied to any particular calendar period of the year. en
dc.format.extent 63
dc.format.mimetype application/pdf en
dc.language.iso en en
dc.title Quarterly Seasonality in U.S. Stock Returns en
dc.type G2 Pro gradu, diplomityö fi
dc.contributor.school Kauppakorkeakoulu fi
dc.contributor.school School of Business en
dc.contributor.department Rahoituksen laitos fi
dc.subject.keyword momentum en
dc.subject.keyword effect of past returns en
dc.subject.keyword cross-sectional seasonality en
dc.subject.keyword quarterly seasonality en
dc.identifier.urn URN:NBN:fi:aalto-201806293945
dc.type.ontasot Master's thesis en
dc.type.ontasot Maisterin opinnäyte fi
dc.programme Finance en
dc.subject.helecon rahoitus fi
dc.subject.helecon osakemarkkinat fi
dc.subject.helecon momentum fi
dc.subject.helecon tuotto fi
dc.subject.helecon syklit fi
dc.subject.helecon Yhdysvallat fi
dc.ethesisid 17228
dc.location P1 I fi

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