THE JOURNAL OF FINANCE·VOL. LXXI, NO. 4·AUGUST 2016

收益季節性

作者：MATTI KELOHARJU (Aalto University-School of Business), JUHANI T. LINNAINMAA (University of Southern California-Marshall School of Business), PETER NYBERG (Aalto University-School of Business)

摘要：根據相同日曆月曆史收益挑選的股票策略可以達到年化13%的收益，這說明了收益是存在季節性的。在異象、商品和國際股票市場指數，我們也發現了類似的結論，并且這個現象在日度頻率也成立。這種季節性推翻了預期收益率不應該存在無條件差異的結論。同時，不同季節性策略之間的相關性很小，這說明了季節性來自于不同的系統性因子。我們的結果表明季節性并不是一種獨立的需要解釋的異象，相反它是和其他異象相關聯的，因為他們來自于相同的系統性因子。

關鍵詞：季節性，資産收益

Return Seasonalities

MATTI KELOHARJU (Aalto University-School of Business), JUHANI T. LINNAINMAA (University of Southern California-Marshall School of Business), PETER NYBERG (Aalto University-School of Business)

ABSTRACT

A strategy that selects stocks based on their historical same-calendar-month returns earns an average return of 13% per year. We document similar return seasonalities in anomalies, commodities, and international stock market indices, as well as at the daily frequency. The seasonalities overwhelm unconditional differences in expected returns. The correlations between different seasonality strategies are modest, suggesting that they emanate from different systematic factors. Our results suggest that seasonalities are not a distinct class of anomalies that requires an explanation of its own, but rather that they are intertwined with other return anomalies through shared systematic factors.

Keywords: Seasonality, Returns

原文鍊接：

http://onlinelibrary.wiley.com/doi/10.1111/jofi.12398/abstract

翻譯：殷曼琳