Are Return Seasonalities Due to Risk or Mispricing?

 

 

Speaker: Matti Keloharju, Aalto University

 

Stocks tend to earn high or low returns relative to other stocks every year in the same month (Heston and Sadka 2008). We show these seasonalities are balanced out by seasonal reversals: a stock that has a high expected return relative to other stocks in one month has a low expected return relative to other stocks in the other months. The seasonalities and seasonal reversals add up to zero over the calendar year, which is consistent with seasonalities being driven by temporary mispricing. Seasonal reversals are economically large, statistically highly significant, and they resemble, but are distinct from, long-term reversals.

 

Time: 12.00 – 1.00 p.m.

Venue: University of Technology, Sydney

               Building 8, Room 8.002, Dr Chau Chak Wing Building
               Dr Chau Chak Wing Building

              14 - 28 Ultimo Road, Ultimo

 

 

Enquiries: Mala Kapahi (Ph: +61 2 9514 7777)