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When low beats high: Riding the sales seasonality premium

Gustavo Grullon, Yamil Kaba and Alexander Núñez-Torres
Authors registered in the RePEc Author Service: Alexander Nunez Torres ()

Journal of Financial Economics, 2020, vol. 138, issue 2, 572-591

Abstract: This paper examines whether predictable seasonal patterns in firm fundamentals generate time variation in stock returns. Our findings indicate that stock returns are counterseasonal. Specifically, a long-short strategy of buying low-sales season stocks and shorting high-sales season stocks produces an annual alpha of 8.4% (14.5% over the last decade). This seasonal effect has a relatively high Sharpe ratio and occurs independently of previously documented seasonal anomalies. We analyze several possible hypotheses for this phenomenon.

Keywords: Asset pricing; Return predictability; Seasonality; Market efficiency; Product markets (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.jfineco.2020.06.003

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