Are Monthly Seasonals Real? A Three Century Perspective | Zendy

Cherry Yi Zhang | Zendy; Ben Jacobsen | Zendy

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Are Monthly Seasonals Real? A Three Century Perspective

Author(s) -

Cherry Yi Zhang,

Ben Jacobsen

Publication year - 2012

Publication title -

ssrn electronic journal

Language(s) - English

Resource type - Journals

ISSN - 1556-5068

DOI - 10.2139/ssrn.1697861

Subject(s) - stock (firearms) , sample (material) , perspective (graphical) , selection bias , econometrics , statistics , geography , economics , computer science , mathematics , artificial intelligence , chemistry , archaeology , chromatography

Over 300 years of UK stock returns reveal that well-known monthly seasonals are sample specific. For instance, the January effect only emerges around 1830. Most months have had their 50 years of fame, showing the importance of long time series to safeguard against sample selection bias, noise, and data snooping. The overall conclusion is that monthly seasonals might simply be in the eye of the beholder. Copyright 2013, Oxford University Press.

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