Seasonal variations in the U.S. Stock Market returns: 1927–1984

摘要: When the seasonal components of monthly returns as opposed to themselves, are examined over 1927–1984 period, Standard & Poor's 500 Composite Index (S&P 500) and Center for Research in Security Prices (CRSP) value-weighted portfolio exhibit significant seasonality. Their behavior is quite similar that smallest quintile New York Stock Exchange (NYSE) stocks CRSP equally weighted during March through October. While January strong two latter portfolios, December, November, appear be consistently former portfolios. The pattern has, however, changed substantially time. June July experienced a drop strength, April gained strength all four portfolios from 1927–1958 1959–1984. These changes coincide an inverse fashion with shifts interest rate