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Seasonality in stock returns

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  • Eric Bentzen

Abstract

In this article, we investigate the January effect on stocks traded at New York Stock Exchange (NYSE), American Stock Exchange (AMEX) and National Association of Securities Dealers Automated Quotations (NASDAQ). Unlike other empirical works we suggest expanding the model to cover several main effects. By doing so we find that the January effect is not the only effect, and it cannot be rejected that the effect from selected years are so powerful that it can affect the empirical findings.

Suggested Citation

  • Eric Bentzen, 2009. "Seasonality in stock returns," Applied Financial Economics, Taylor & Francis Journals, vol. 19(20), pages 1605-1610.
    • Handle: RePEc:taf:apfiec:v:19:y:2009:i:20:p:1605-1610
    DOI: 10.1080/09603100902984368
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    References listed on IDEAS

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    1. Rozeff, Michael S. & Kinney, William Jr., 1976. "Capital market seasonality: The case of stock returns," Journal of Financial Economics, Elsevier, vol. 3(4), pages 379-402, October.
    2. James M. Poterba & Scott J. Weisbenner, 2001. "Capital Gains Tax Rules, Tax‐loss Trading, and Turn‐of‐the‐year Returns," Journal of Finance, American Finance Association, vol. 56(1), pages 353-368, February.
    3. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
    4. Banz, Rolf W., 1981. "The relationship between return and market value of common stocks," Journal of Financial Economics, Elsevier, vol. 9(1), pages 3-18, March.
    5. Keim, Donald B., 1983. "Size-related anomalies and stock return seasonality : Further empirical evidence," Journal of Financial Economics, Elsevier, vol. 12(1), pages 13-32, June.
    6. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    7. repec:bla:jfinan:v:43:y:1988:i:3:p:701-17 is not listed on IDEAS
    8. Bonin, Joseph M. & Moses, Edward A., 1974. "Seasonal Variations in Prices of Individual Dow Jones Industrial Stocks," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 9(6), pages 963-991, December.
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