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- W145804631 abstract "Well-diversified portfolios of stocks formed by either characteristics or factor loadings have relatively high or low returns every year in the same calendar month. These common seasonalities account for at least 80% of the seasonalities in individual stock returns. The source of seasonalities matters: a trading strategy that tries to profit from seasonalities in individual stock returns is necessarily exposed to common return factors. We develop a model in which seemingly firm-specific seasonalities emerge from stocks amplifying and aggregating small seasonalities in common factors. We demonstrate that this mechanism is a pervasive feature of asset returns at monthly and daily frequencies." @default.
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- W145804631 date "2013-01-01" @default.
- W145804631 modified "2023-09-23" @default.
- W145804631 title "Common Factors in Stock Market Seasonalities" @default.
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- W145804631 doi "https://doi.org/10.2139/ssrn.2224246" @default.
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