Seasonalities in Swedish Stock Returns: Why are they Not Arbitraged Away?
1994 (English)Report (Other academic)
This paper exmines two potential explanations of the so called January effect in the Swedish stock market for the period January 1919 to December 1989; the tax loss selling hypothesis and the omitted risk factor hypothesis. We document significantly higher returns in both January and July over the sample period. In addition, there is a seasonal pattern in the variances of the monthly returns. There seem to be an interaction between the variance and the mean effects. However, we find no support for either of the proposed hypotheses.
Place, publisher, year, edition, pages
Stockholm: IIES , 1994. , 24 p.
Seminar Paper / Institute for International Economic Studies, Stockholm University, ISSN 0347-8769 ; 583
January effect, omitted risk factors, tax effects, turn-of-the-year
IdentifiersURN: urn:nbn:se:su:diva-41908OAI: oai:DiVA.org:su-41908DiVA: diva2:342917