Return Seasonalities
研究发现，根据股票历史同月回报选股的策略年均收益达13%，且这种季节性在多种资产和频率中普遍存在，与其它异象通过共同系统因素相互关联。
ABSTRACT A strategy that selects stocks based on their historical same‐calendar‐month returns earns an average return of 13% per year. We document similar return seasonalities in anomalies, commodities, and international stock market indices, as well as at the daily frequency. The seasonalities overwhelm unconditional differences in expected returns. The correlations between different seasonality strategies are modest, suggesting that they emanate from different systematic factors. Our results suggest that seasonalities are not a distinct class of anomalies that requires an explanation of its own, but rather that they are intertwined with other return anomalies through shared systematic factors.