Factor seasonalities: International and further evidence

Aleksander Mercik, Daniel Cupriak and Adam Zaremba

Finance Research Letters, 2023, vol. 58, issue PA

Abstract: We study factor return seasonalities in international markets. Using up to 143 characteristic-sorted portfolios from 39 countries, we document a pervasive cross-sectional pattern: anomalies with a high average same-calendar month return outperform those with low average returns. The effect persists across individual markets and global samples and cannot be attributed to common risk factors. Neither factor momentum nor cross-sectional variation in unconditional premia explains the phenomenon. Instead, the effect originates from price seasonalities, which transmit to factor portfolios, engendering seasonality in their returns. Consequently—rather than manifesting an independent asset pricing phenomenon—factor seasonality merely reflects its stock-level equivalent.

Keywords: Equity anomalies; Return-predictability; Seasonality; Factor timing; The cross-section of stock returns; Factor investing (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612323006657
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323006657

DOI: 10.1016/j.frl.2023.104293

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().