The predictive power of sales seasonality over stock returns in the Asian stock markets

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bachelor_Lehojärvi_Max_2020.pdf (241.81 KB)

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School of Business | Bachelor's thesis
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Date

2020

Department

Rahoituksen laitos

Major/Subject

Mcode

Degree programme

Rahoitus

Language

en

Pages

26 + 9

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Abstract

This paper examines the predictive power of sales seasonality over stock returns in the Asian stock markets from January 2004 to December 2019. I find that sales seasonality has predictive power over future stock returns because of time variation. A long-short portfolio, which buys the firms in their low-sales seasons and shorts the firms in their high-sales seasons produces an annual alpha of 4.08% - 6.49% with an equally-weighted portfolio and an annual alpha of 8.04% - 10.76% with a value-weighted portfolio. The results remain significant after controlling for other previously documented return predicting variables.

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Thesis advisor

Spickers, Theresa

Keywords

sales seasonality, seasonality, asset pricing, return predictability

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https://urn.fi/URN:NBN:fi:aalto-202101241307

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[kand] Kauppakorkeakoulu / BIZ (Open Access)