Sales Seasonality Premium in Europe
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School of Business |
Bachelor's thesis
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Authors
Date
2021
Department
Major/Subject
Mcode
Degree programme
Rahoitus
Language
en
Pages
31 + 7
Series
Abstract
Sorting stocks based on sales seasonality has yielded statistically significant premium in the United States over the period of 1972-2017 (Grullon, Kaba and Núñez-Torres, 2020). According to my results, the same effect is also present in Europe over the period of January 2003 - June 2021 as shorting stocks at their high season and buying stocks at their low season has yielded an annual alpha of 9.36 per cent, independently of other known asset pricing factors and seasonalities. I examine multiple explanations behind the phenomena, namely investments, changes in capital structure and investor attention.Description
Thesis advisor
Joenväärä, JuhaKeywords
sales seasonality, asset pricing, return predictability, market efficiency