Are Seasonal Anomalies Real? A Ninety-Year Perspective
Are Seasonal Anomalies Real? A Ninety-Year Perspective
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DOI：
10.1093/rfs/1.4.403
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发表时间：
1988-10-01
影响因子：
8.2
通讯作者：
Smidt, Seymour
中科院分区：
文献类型：
--
作者：
Lakonishok, Josef;Smidt, Seymour
这项研究使用了道琼斯工业股票平均价格指数90年来的每日数据，以检验回报率是否存在持续的季节性模式。考虑了与季节性测试有关的方法学问题。我们发现有证据表明，在本周末、月末末、年末末和节假日前后，收益率会持续出现异常。
This study uses 90 years of daily data on the Dow Jones Industrial Average to test for the existence of persistent seasonal patterns in the rates of return. Methodological issues regarding seasonality tests are considered. We find evidence of persistently anomalous returns around the turn of the week, around the turn of the month, around the turn of the year, and around holidays.