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

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Journal Title
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Volume Title
School of Business | Bachelor's thesis
Date
2020
Major/Subject
Mcode
Degree programme
Rahoitus
Language
en
Pages
26 + 9
Series
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.
Description
Thesis advisor
Spickers, Theresa
Keywords
sales seasonality, seasonality, asset pricing, return predictability
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Citation