An Analysis of Seasonality in the U.K. Equity Market
研究英国股票市场季节波动的特征与重要性，发现FT-A全股指数收益存在显著季节性，且该现象在按规模分组的投资组合中稳健，不受风险代理变量影响。
This paper examines the nature and importance of seasonal fluctuations in the UK equity market. Our analysis reveals that returns on the FT-A All Share index exhibit significant seasonality which is best described by a deterministic seasonal model. We also establish that evidence of seasonal variation is robust across size sorted portfolios and remains unaffected by the introduction of a proxy for risk.