Common Factors in Return Seasonalities
收藏NBER2015-01-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w20815
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资源简介：
A strategy that selects stocks based on their historical same-calendar-month returns earns an average return of 13% per year. We document similar return seasonalities in anomalies, commodities, international stock market indices, and at the daily frequency. The seasonalities overwhelm unconditional
提供机构：
美国国家经济研究局
创建时间：
2015-01-01
