Seasonality in the Cross-Section of Stock Returns

By Kathryn Dixon Jost. 2008

158 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/e816992e18612c35d2ad3569ed49677d86e34b57

How researchers see this paper

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In Economics and Econometrics

1. Robert Novy-Marx
2. Lu Han
3. W. Strange

In Finance

1. Robert Novy-Marx
2. Philipp Krueger
3. Juhani T. Linnainmaa
4. Kewei Hou
5. Lu Zhang
6. Chen Xue
7. Eugene F. Fama
8. Kenneth R. French

Citations in the corpus

• Tree-Based Conditional Portfolio Sorts: The Relation between Past and Future Stock Returns (2016, unknown): “return exactly 12 months ago, is the seasonal effect documented by Heston and Sadka (2008). There is also considerable time variation in the exact ranks as illustrated by the interquartile range of ranks for each past return.”
• Selective Publicity and Stock Prices (2012, unknown): “…beta, analyst coverage, institutional ownership, last month's stock return, the average return in the same calendar month for the past five years (Heston and Sadka (2008)), 48 industry dummies based on SIC codes (Fama and French (1997)), press release subject codes, and the announcement-day…”
• Predicting anomaly performance with politics, the weather, global warming, sunspots, and the stars. (2014, background): “…(2006) Industry momentum Prior month’s industry return Monthly Moskowitz and Grinblatt (1999) Seasonality Average return in the coming calendar month over the preceding five years Monthly Heston and Sadka (2008) Beta arbitrage Estimated market beta Monthly Black (1972), Frazzini and Pedersen (2013)”
• Are Monthly Seasonals Real? A Three Century Perspective (2013, unknown): “…and followed by many other, now classic, Ever since 1942, old and new calendar anomalies (like the other January effect (Cooper, McConnell, and Ovtchinnikov, 2006) and seasonal effects in the cross-section of stock returns (Heston and Sadka, 2007)) keep practitioners and academics intrigued.”
• The Cross-Section of Expected Stock Returns: What Have We Learnt from the Past Twenty-Five Years of Research? (2010, unknown): “Easley, Hvidkjaer, and O’Hara (2002) indicate that their theory-based measure of information asymmetry, PIN, is priced in the cross-section of returns.”
• Is momentum really momentum (2012, background): “For US equities, performance 12 months prior to portfolio formation is particularly important for predicting expected returns (Jegadeesh, 1990; Heston and Sadka, 2008), especially for small stocks.”
• The History of the Cross Section of Stock Returns (2016, unknown): “Heston and Sadka (2008) measure seasonalities in stock returns using data from January 1965 through December 2002.”
• Earnings Announcements and Systematic Risk (2015, unknown): “Heston and Sadka (2008) find a strong seasonality effect in the cross-section of U.S. stock returns, where stocks with high historical returns in a given calendar month continue to experience high future returns in that same month.19 While this could potentially explain the persistence in earnings…”