Microstructure and Seasonality in the UK Equity Market
研究英国股票市场的季节性，分析公司财年结束日期对回报的影响，以及买卖价差和交易活动的季节性变化，发现季节性模式无法用于获取超额利润。
This paper explores seasonality in the UK stock market. It examines the impact of alternative company year‐ends on returns as well as seasonality in bid‐ask spreads and trading activity variables including volume, number and size of trades. Consistent with the evidence elsewhere, seasonal variation in stock returns and trading activity is established although there is little evidence of a seasonal pattern in relative bid‐ask spreads. Trading rules based on the seasonal patterns do not suggest that seasonality can be exploited to earn excess profits.