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• W1989808110 abstract "Abstract This 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." @default.
• W1989808110 created "2016-06-24" @default.
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• W1989808110 date "2010-08-12" @default.
• W1989808110 modified "2023-10-14" @default.
• W1989808110 title "Seasonality in the Cross Section of Stock Returns: The International Evidence" @default.
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• W1989808110 doi "https://doi.org/10.1017/s0022109010000451" @default.
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