Stock Return Seasonality Research Articles

The Scrutinized-firm Effect, Portfolio Rebalancing, Stock Return Seasonality, and the Pervasiveness of the January Effect in Canada

This article examines whether seasonality is present in the excess returns of low risk Canadian firms in safe industries for a sample of firms that are highly scrutinized and visible and uses such tests as the foundation to empirically test competing explanations of stock market seasonality, namely, the tax-loss selling hypothesis and the gamesmanship hypothesis. The tests cover the period 1980 to 1998. For a sample of highly scrutinized and visible firms strong seasonality in excess returns is reported. However, the firms in our sample have unusually low excess returns in January and returns adjust upwards over the remainder of the year. The results hold even after we control for various risk differences among the stocks of our sample. Further, this article’s findings imply that the January effect is not as pervasive across risk classes and industry sectors as earlier studies using aggregate data have shown it to be. The disaggregated data of this study provide evidence in support of the gamesmanship hypothesis, but not the tax-loss selling hypothesis. Whenever a January effect is observed, the last quarter of the year tends to be weak for those companies in our sample that experienced a strong January. The opposite is true when a January effect is not evident, as the gamesmanship hypothesis would predict.

Insider trading, tax-loss selling, and the turn-of-the-year effect

We examine the turn-of-the-year effect (January effect) in UK listed securities and find that it is significant but not persistent through time. In contrast to the US studies, equities of all sizes are affected. Although important, we reject the hypothesis that seasonalities in insider trading are the main determinant of the turn-of-the-year effect. In addition, the tax-loss selling hypothesis, which is commonly thought to be a cause of the January effect in the US, is tested with the April year-end for UK investors. We find evidence of excess abnormal share price returns. However, this does not impact upon excess abnormal share price returns in January. Our results are important because they provide an insight into stock return seasonality in the UK and reject some widely held beliefs on this issue.

Stock return seasonalities in low‐income African emerging markets

Surveys African stock markets to find out if they are as efficient as developed markets, and follow the same “turn‐of‐the‐year” pattern as other markets. Compares Ghana, Zimbabwe and Nigeria, and focuses on the period between 1985 and 1995. Describes the environment of each, and computes monthly stock returns, testing them for seasonality. Finds evidence of the January effect only in Ghana, and there it is small. Notes that this may be the result of spillover from London.

Firm Size, Stock Return Seasonality, and the Trading Pattern of Individual and Institutional Investors

Consistent with U.S. evidence showing a significant January effect, Canadian stocks, both large and small, are found to exhibit a strong first quarter seasonal effect. Evidence appears to support the hypothesis that the behavior of institutional investors explains this effect to some extent for both large- and small-cap stocks. Individual investors seem to be the marginal traders whose trades affect the prices of small stocks in all but the first quarter. The findings have implications for market efficiency as well as for identifying the best times that portfolio managers and brokers aggressively approach potential customers.

Real vs. nominal stock return seasonalities: empirical evidence

In Israel, where the average inflation rate has been relatively high, calendar stock market anomalies appear different than in most of the other international markets. Adjustment for inflation, however, eliminates the dissimilarities. This suggests that calendar seasonalities are real, and should be measured in real terms.

Daily seasonality in stock returns

Daily seasonality in stock markets is one of the most intriguing problems in financial economics and a true challenge to the efficiency hypothesis. This paper examines daily seasonality in the New York, Tokyo, London, Frankfurt, Paris and Madrid stock markets in recent years. The results obtained are quite different from the patterns described in existing literature which examines earlier periods.

Stock Return Seasonalities and Earnings Information

Previous literature documents significant seasonalities in stock market returns. One explanation is seasonality in earnings information. If true, a return index comprised solely of firms reporting earnings should exhibit stronger intertemporal seasonalities than a return index comprised of firms not reporting earnings. Employing all New York and American Stock Exchange firms over six years, this study examines the seasonality of stock returns. Generally, seasonal patterns for reporting returns are found to be similar to or slightly weaker than for nonreporting returns. Thus, it is doubtful that earnings news seasonality induces stock return seasonality.

Stock Return Seasonalities in Asia Pacific Markets*

AbstractThis study documents the existence of strong day‐of‐the‐week effects for most of the Asia Pacific markets. There are also more day‐of‐the‐week variations in the non‐January months than in January and there is also a ‘Rogalski’ effect for returns on Monday, Tuesday, Friday and Saturday. Moreover, some turn‐of‐the‐lunar‐year effects are found for some markets. Unlike the industrialized markets, month‐of‐the‐year variations are not consistent with the tax‐loss selling hypothesis in most of the Asia Pacific markets. This study also finds it hard to reject the hypothesis that day‐of‐the‐week variations of Asia Pacific markets are similar to that of the U.S. market after adjustments for time zone differences, especially for smaller markets.

Taxes and Stock Return Seasonality: Evidence from the London Stock Exchange

Prior to the introduction of capital-gains taxes, seasonality is not detected in the returns of firms that traded on the London Stock Exchange. However, after the imposition of a capital-gains tax, the British stock return data exhibit apparent monthly effects in both Jan uary and April. Additional analysis reveals that, while the April effect is consistent with the tax-loss-selling hypothesis, the January effect cannot be attributed solely to the introduction of capital-gains taxation. Furthermore, the authors efforts indicate that much caution should be exercised when interpreting studies that compare results from non-U.S. data sources with those from U.S. data. Copyright 1987 by the University of Chicago.

Stock return seasonalities and the tax-loss selling hypothesis

Stock return seasonalities and the tax-loss selling hypothesis

Size-related anomalies and stock return seasonality

This study examines, month-by-month, the empirical relation between abnormal returns and market value of NYSE and AMEX common stocks. Evidence is provided that daily abnormal return distributions in January have large means relative to the remaining eleven months, and that the relation between abnormal returns and size is always negative and more pronounced in January than in any other month - even in years when, on average, large firms earn larger risk-adjusted returns than small firms. In particular. nearly fifty percent of the average magnitude of the ‘size effect’ over the period 1963-1979 is due to January abnormal returns. Further, more than lifty percent of the January premium is attributable to large abnormal returns during the first week of trading in the year, particularly on the first trading day.