performance of intermediate-term momentum is due to strong January seasonality in the cross-section of returns. The implications …

. We find different forms of monthly seasonality explainable by some characteristics of the stocks. …

for months during the second half. Dubbed the ``Dekansho-bushi effect," this seasonality is independent of other known …

This study develops a novel generalised seasonality test that utilises sequential dummy variable regressions for … seasonality periodicity equal to prime numbers. It allows both to test for existence of any seasonal patterns against the broad … null hypothesis of no seasonality and to isolate most prominent seasonal cycles while using harmonic mean p-values to …

seasonality goes beyond a size effect and strongly affects most anomalies, which can even switch sign in January. Return … seasonality exists outside of January depending on the month of the quarter. Small stocks earn abnormally high average returns on …