The Persistence of Seasonality: Evidence from 1926 to 2009 - Vincent Smits - Books - LAP LAMBERT Academic Publishing - 9783844330830 - April 21, 2011
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Vincent Smits
The Persistence of Seasonality: Evidence from 1926 to 2009

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Investors and academics have long been intrigued by seasonality effects on stock returns. In this research it was tested whether any significant monthly returns persist over time. The results obtained in this research provide evidence for seasonality in stock returns during the 1926 ? 2009 period. Extended analysis of persistence across time showed that monthly stock returns are in fact not persistent over longer time periods, for all portfolios except for the smallest size portfolios. The extended analysis further revealed that evidence of persistence is highly correlated with the size effect.

Media Books     Paperback Book   (Book with soft cover and glued back)
Released April 21, 2011
ISBN13 9783844330830
Publishers LAP LAMBERT Academic Publishing
Pages 68
Dimensions 150 × 4 × 225 mm   ·   119 g
Language German  
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