An Empirical Analysis of Factor Seasonalities
Author | : FY Eric Lam |
Publisher | : |
Total Pages | : 42 |
Release | : 2019 |
ISBN-10 | : OCLC:1304307897 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book An Empirical Analysis of Factor Seasonalities written by FY Eric Lam and published by . This book was released on 2019 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seasonalities in asset returns, including the January effect, the Halloween effect and the same-calendar-month effect, are widely documented in the literature. We show that a number of popular factors in the empirical asset pricing literature exhibit some well-known seasonalities. Most of the factor models we consider are able to effectively capture seasonalities in the returns of our test portfolios. Carhart four-factor performs the best in terms of explaining the seasonalities of underlying markets. It is the first attempt to empirically test Keloharju et al. (2016) hypothesis and extend it to compare asset pricing models.