Abstract
When the seasonal components of the monthly returns as opposed to the returns themselves, are examined over the 1927–1984 period, the Standard & Poor's 500 Composite Index (S&P 500) and the Center for Research in Security Prices (CRSP) value-weighted portfolio exhibit significant seasonality. Their seasonal behavior is quite similar to that of the smallest quintile of New York Stock Exchange (NYSE) stocks and the CRSP equally weighted portfolio during March through October. While January is strong for the two latter portfolios, December, November, and January appear to be consistently strong for the two former portfolios. The seasonal pattern has, however, changed substantially over time. While June and July returns experienced a significant drop in seasonal strength, March and April returns gained seasonal strength for all four portfolios from 1927–1958 to 1959–1984. These changes coincide in an inverse fashion with the shifts in interest rate seasonality.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
