Factor Seasonalities: International and Further Evidence
Full item record
| dc.contributor.author | Mercik, Aleksander | |
|---|---|---|
| dc.contributor.author | Cupriak, Daniel | |
| dc.contributor.author | Zaremba, Adam | |
| dc.contributor.organization | Wroclaw University of Economics and Business | |
| dc.contributor.organization | Montpellier Business School | |
| dc.contributor.organization | Poznan University of Economics and Business | |
| dc.contributor.organization | University of Cape Town | |
| dc.date.accessioned | 2024-10-08T11:11:33Z | |
| dc.date.available | 2024-10-08T11:11:33Z | |
| dc.date.issued | 2023-08-01 | |
| dc.description.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. | en |
| dc.identifier.citation | Mercik, A., Cupriak, D., & Zaremba, A. (2023). Factor seasonalities: International and further evidence. Finance Research Letters, 58, 104293. | |
| dc.identifier.doi | 10.1016/j.frl.2023.104293 | |
| dc.identifier.issn | 1544-6131 | |
| dc.identifier.uri | https://open.icm.edu.pl/handle/123456789/24904 | |
| dc.language.iso | en | |
| dc.publisher | Elsevier | |
| dc.relation.ispartofseries | 104293 | |
| dc.rights | Uznanie autorstwa 4.0 Międzynarodowe | en |
| dc.rights.uri | http://creativecommons.org/licenses/by/4.0/ | |
| dc.source | Finance Research Letters | |
| dc.subject | equity anomalies | en |
| dc.subject | return-predictability | en |
| dc.subject | seasonality | en |
| dc.subject | factor timing | en |
| dc.subject | cross-section of stock returns | en |
| dc.subject | factor investing | en |
| dc.title | Factor Seasonalities: International and Further Evidence | en |
| dc.type | article | |
| dc.type.version | acceptedVersion |
Files for this record
Original bundle
1 - 1 of 1
| Name: | Factor seasonalities with olek OA.pdf |
|---|---|
| Size: | 698.16 KB |
| Format: | Adobe Portable Document Format |
| Description: |
Download
License files
| Name: | license_rdf |
|---|---|
| Size: | 1019 B |
| Format: | RDF serialized in XML |
| Description: |
Download