Kamstra, Mark J.; Kramer, Lisa A.; Levi, Maurice D. - In: Journal of Banking & Finance 33 (2009) 3, pp. 578-582
This comment discusses some errors in a recent paper by Jacobsen and Marquering [Jacobsen, B., Marquering, W., 2008. Is it the weather? Journal of Banking and Finance 32 (4), 526-540], in which the authors challenge our previous finding that stock market returns exhibit seasonal patterns...