A Fresh Look at Seasonal Anomalies: An International Perspective

摘要: Under globalization and international market integration, exploring seasonality in global equity markets is imperative for portfolio managers individual investors to timely reconstruct their portfolios firms optimally schedule the issue of either new shares or IPOs. Prior research supports presence January effect, particularly US stock market. However, context markets, evidence less compelling often contradictory. This paper provides a fresh look at monthly 34 over period from 1988 December 2010. Unlike prior findings, we do not find significant effect except perhaps 3 markets. Instead, significantly larger positive anomalies across vast majority these April. The results further suggest negative June, August, September most sample.