Are Seasonal Anomalies Real? A Ninety-Year Perspective

被引：391

作者：

Lakonishok, Josef ^{[1
]}

Smidt, Seymour ^{[2
]}

机构：

[1] Univ Illinois, Chicago, IL 60680 USA

[2] Cornell Univ, Ithaca, NY 14853 USA

来源：

REVIEW OF FINANCIAL STUDIES | 1988年 / 1卷 / 04期

关键词：

D O I：

10.1093/rfs/1.4.403

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study uses 90 years of daily data on the Dow Jones Industrial Average to test for the existence of persistent seasonal patterns in the rates of return. Methodological issues regarding seasonality tests are considered. We find evidence of persistently anomalous returns around the turn of the week, around the turn of the month, around the turn of the year, and around holidays.

引用

页码：403 / 425

页数：23

共 41 条

[1]

Admati A. R., 1988, 1002 STANF U GRAD SC

[2] A Theory of Intraday Patterns: Volume and Price Variability [J].