Stock Return Seasonalities and Earnings Information
检验盈利信息季节性是否导致股票回报季节性，发现报告盈利公司的回报季节性并不比未报告公司更强，因此质疑盈利新闻季节性驱动回报季节性的解释。
Previous literature documents significant seasonalities in stock market returns. One explanation is seasonality in earnings information. If true, a return index comprised solely of firms reporting earnings should exhibit stronger intertemporal seasonalities than a return index comprised of firms not reporting earnings. Employing all New York and American Stock Exchange firms over six years, this study examines the seasonality of stock returns. Generally, seasonal patterns for reporting returns are found to be similar to or slightly weaker than for nonreporting returns. Thus, it is doubtful that earnings news seasonality induces stock return seasonality.