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​Seasonal Reversals in Expected Stock Returns


Date/Time: 16-Nov-2018 - 16-Dec-2018 0900hrs - 1700hrs
Venue: Executive Seminar Room 5 (S3.1-B1-07)
Contact Information:


​Date: Tuesday, 20 November 2018
Time: 10.30 am – 12.00 pm
Venue: Executive Seminar Room 5 (S3.1-B1-07)

Chairperson:  Asst Prof Hoonsuk PARK
 
Abstract
Stocks tend to earn high or low returns relative to other stocks every year in the same calendar month (Heston and Sadka 2008; Keloharju, Linnainmaa, and Nyberg 2016). In this paper, we show that these seasonalities are balanced by seasonal reversals: a stock that has a high expected return relative to other stocks in one month has a low expected return relative to other stocks in the other months. The seasonalities and seasonal reversals add up to zero over the calendar year. Our evidence suggests that return seasonalities are likely due to temporary mispricing. Seasonal reversals are economically large, statistically highly significant, and they resemble, but are distinct from, long-term reversals. A factor that estimates expected returns from both average same- and other-month returns has a t-value of 9.93, and it is robust throughout the 1963-2016 sample period.

About the Speaker
Matti KELOHARJU is Aalto Distinguished Professor, Academy Professor, and Eero Kasanen Professor of Finance at the Aalto University School of Business. He is also Research Fellow of the CEPR and Research Associate of the IFN, and has in the past held visiting positions at Harvard Business School, New York University, and UCLA. He has specialized in applying unique data sets to analyze the behavior of various economic agents, such as individual and institutional investors, corporate executives, and consumers, and the consequences of their behavior. Professor Keloharju’s work has been published in top journals such as the Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Review of Economics and Statistics, and Management Science, and his research has been widely cited in the international news media, including the New York Times, Bloomberg News Service, Financial Times, and Wall Street Journal.


 
For registration, further information and enquiries, please contact Florence at amlcher@ntu.edu.sg or telephone: 67906354.

Published on: 16-Nov-2018

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