Calendar Anomalies, Much Ado About Nothing
An anomaly is a pattern in stock returns that deviates from what is expected based on established financial theories or models. These patterns can sometimes [...]
Evidence supporting factor-based seasonalities
Factor seasonality reflects its own stock-level equivalent. It is not an independent risk factor.
The January Effect: An Evidence-Based Perspective
January is here again and market commentators are already telling stories about the so-called January Effect. Some articles (examples here and here) are saying the [...]
A Stunning New Finding: Return Seasonalities are Everywhere
We've discussed return seasonalities in the past, especially as they pertain to our approach to momentum. Turns out seasonality effects aren't confined to momentum -- they [...]
Interest Rates, Tax-Selling, and Stock Return Seasonality
Stock prices under pressure: How tax and interest rates drive seasonal variation in expected returns Kang, Pekkala, and et al. A version of the paper [...]
Momentum Investing: Why Does Seasonality Matter for Momentum?
Causes and Seasonality of Momentum Profits Richard Sias A version of the paper can be found here. Want a summary of academic papers with alpha? Check [...]