Sales Seasonality Premium in Europe

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Volume Title

School of Business | Bachelor's thesis

Date

2021

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, Juha

Keywords

sales seasonality, asset pricing, return predictability, market efficiency

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