Seasonality in the Cross Section of Stock Returns: The International Evidence

CFA Digest ◽  
2011 ◽  
Vol 41 (2) ◽  
pp. 46-48
Author(s):  
Vipul K. Bansal
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
International Evidence ◽  
The Cross

Seasonality in the Cross Section of Stock Returns: The International Evidence

2010 ◽  
Vol 45 (5) ◽  
pp. 1133-1160 ◽  
Author(s):  
Steven L. Heston ◽  
Ronnie Sadka
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Domestic Market ◽  
Trading Strategies ◽  
Global Risk ◽  
Seasonal Predictability ◽  
International Evidence ◽  
Local Risk ◽  
The Cross ◽  
Highly Correlated

AbstractThis paper studies seasonal predictability in the cross section of international stock returns. Stocks that outperform the domestic market in a particular month continue to outperform the domestic market in that same calendar month for up to 5 years. The pattern appears in Canada, Japan, and 12 European countries. Global trading strategies based on seasonal predictability outperform similar nonseasonal strategies by over 1% per month. Abnormal seasonal returns remain after controlling for size, beta, and value, using global or local risk factors. In addition, the strategies are not highly correlated across countries. This suggests they do not reflect return premiums for systematic global risk.

Seasonality in the Cross-Section of Stock Returns

CFA Digest ◽  
2008 ◽  
Vol 38 (3) ◽  
pp. 55-56
Author(s):  
Kathryn Dixon Jost
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
The Cross
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