Seasonality in the Cross Section of Stock Returns: The International Evidence
研究了国际股票收益横截面中的季节性可预测性，发现某些月份表现优异的股票在未来5年同月持续表现优异，基于此的全球交易策略每月超额收益超过1%。
Abstract This paper studies seasonal predictability in the cross section of international stock returns. Stocks that outperform the domestic market in a particular month continue to outperform the domestic market in that same calendar month for up to 5 years. The pattern appears in Canada, Japan, and 12 European countries. Global trading strategies based on seasonal predictability outperform similar nonseasonal strategies by over 1% per month. Abnormal seasonal returns remain after controlling for size, beta, and value, using global or local risk factors. In addition, the strategies are not highly correlated across countries. This suggests they do not reflect return premiums for systematic global risk.