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Factor seasonalities: International and further evidence

Author

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  • Mercik, Aleksander
  • Cupriak, Daniel
  • Zaremba, Adam

Abstract

We study factor return seasonalities in international markets. Using up to 143 characteristic-sorted portfolios from 39 countries, we document a pervasive cross-sectional pattern: anomalies with a high average same-calendar month return outperform those with low average returns. The effect persists across individual markets and global samples and cannot be attributed to common risk factors. Neither factor momentum nor cross-sectional variation in unconditional premia explains the phenomenon. Instead, the effect originates from price seasonalities, which transmit to factor portfolios, engendering seasonality in their returns. Consequently—rather than manifesting an independent asset pricing phenomenon—factor seasonality merely reflects its stock-level equivalent.

Suggested Citation

  • Mercik, Aleksander & Cupriak, Daniel & Zaremba, Adam, 2023. "Factor seasonalities: International and further evidence," Finance Research Letters, Elsevier, vol. 58(PA).
    • Handle: RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323006657
    DOI: 10.1016/j.frl.2023.104293
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    References listed on IDEAS

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    More about this item

    Keywords

    Equity anomalies; Return-predictability; Seasonality; Factor timing; The cross-section of stock returns; Factor investing;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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