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Are Seasonal Anomalies Real? A Ninety-Year Perspective

Josef Lakonishok1,2; Seymour Smidt3

1 University of Illinois Urbana-Champaign · 2 University of Illinois System · 3 Cornell University

Review of Financial Studies 1988

This study uses 90 years of daily data on the Dow Jones Industrial Average to test for the existence of persistent seasonal patterns in the rates of return. Methodological issues regarding seasonality tests are considered. We find evidence of persistently anomalous returns around the turn of the week, around the turn of the month, around the turn of the year, and around holidays.

DOI
10.1093/rfs/1.4.403
Volume
1 (4)
Pages
403-425
Language
en
Export
BibTeX
Sources
crossref openalex