Does the strength of capital market anomalies exhibit seasonal patterns?

In a recent study, Fiore and Saha (Financ Rev 50(2), 257–273 2015) present the interesting finding that the beta anomaly in US stocks appears only in summer months. Using a novel dataset of arbitrage portfolio returns exploiting size, value, momentum and beta effects in 21 developed stock markets, we analyse whether summer-winter seasonality also occurs for other well-known anomalies and for markets other than the US. In a variety of dummy regression settings, we find that, on a descriptive basis, the returns for the size and value (momentum and beta) anomalies tend to be higher in winter (summer) than in summer (winter). However, in the majority of cases, these results do not withstand statistical testing. Furthermore and in contrast to Fiore and Saha (Financ Rev 50(2), 257–273 2015), our results indicate that the beta anomaly is valuable for investors in both summer and winter and thus disinvesting in winter should not be the preferred investment strategy. With the exception of the size portfolios, where returns appear to be concentrated in January, the economic significance of the other arbitrage portfolios’ summer and winter returns mostly also advises against seasonal investing in arbitrage portfolios.