We model the seasonal volatility of stock returns using GARCH specifications and size-sorted portfolios. Estimation results indicate that there are volatility differences between months and that these seasonal volatility patterns are conditional on firm size. Additionally, we find that seasonal...

This paper reports evidence that the standard deviation of stock returns exhibits seasonal patterns. The seasonal patterns are considerably different between portfolios of different market value of equity stocks. January and August are the two most volatile months for the small decile portfolio...

We model the seasonal volatility of stock returns using GARCH specifications and size-sorted portfolios. Estimation results indicate that there are volatility differences between months of the year and that these seasonal volatility patterns are conditional on firm size. Additionally, we find...