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

收益季节性

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：根据相同日历月历史收益挑选的股票策略可以达到年化13%的收益，这说明了收益是存在季节性的。在异象、商品和国际股票市场指数，我们也发现了类似的结论，并且这个现象在日度频率也成立。这种季节性推翻了预期收益率不应该存在无条件差异的结论。同时，不同季节性策略之间的相关性很小，这说明了季节性来自于不同的系统性因子。我们的结果表明季节性并不是一种独立的需要解释的异象，相反它是和其他异象相关联的，因为他们来自于相同的系统性因子。

关键词：季节性，资产收益

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

原文链接：

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

翻译：殷曼琳