Are Seasonal Anomalies Real? A Ninety-Year Perspective

In recent years there has been a proliferation of empirical studies documenting unexpected or anomalous regularities in security rates of return. In addition to the widely studied relation between firm size and rate of return,1 these include seasonal regularities related to the time of the day [Harris (1986)], the day of the week [see Ball and Bowers (1986), Cross (1973), French (1980), Gibbons and Hess (1981), Jaffe and Westerfield (1985), Keim and Stambaugh (1984), and Lakonishok and Levi (1982)], the time of the month [Ariel (1987)], and the turn of the year [see Haugen and Lakonishok (1988), Jones, Pearce, and Wilson (1987), Lakonishok

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