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Does the sales seasonality anomaly exist in China?

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  • Huang, Jiexiang
  • Tan, Yongxian
  • Zhao, Hailong

Abstract

In this paper, we examine the relationship between sales seasonality and future stock return in the US and Chinese markets. Consistent with Grullon et al. (2020), we find low-sales-season firms tend to significantly outperform high-sales-season firms in the US market. Our empirical results suggest that the sales seasonality anomaly does not exist in the Chinese market.

Suggested Citation

  • Huang, Jiexiang & Tan, Yongxian & Zhao, Hailong, 2020. "Does the sales seasonality anomaly exist in China?," Pacific-Basin Finance Journal, Elsevier, vol. 63(C).
    • Handle: RePEc:eee:pacfin:v:63:y:2020:i:c:s0927538x20302596
    DOI: 10.1016/j.pacfin.2020.101425
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    References listed on IDEAS

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    1. Fama, Eugene F. & French, Kenneth R., 2015. "A five-factor asset pricing model," Journal of Financial Economics, Elsevier, vol. 116(1), pages 1-22.
    2. Liu, Jianan & Stambaugh, Robert F. & Yuan, Yu, 2019. "Size and value in China," Journal of Financial Economics, Elsevier, vol. 134(1), pages 48-69.
    3. Carhart, Mark M, 1997. "On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
    4. Eun, Cheol S. & Huang, Wei, 2007. "Asset pricing in China's domestic stock markets: Is there a logic?," Pacific-Basin Finance Journal, Elsevier, vol. 15(5), pages 452-480, November.
    5. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
    6. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    7. Grullon, Gustavo & Kaba, Yamil & Núñez-Torres, Alexander, 2020. "When low beats high: Riding the sales seasonality premium," Journal of Financial Economics, Elsevier, vol. 138(2), pages 572-591.
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