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5 January 2008 Seasonality, size effect, and delisting bias
Qi Zeng, Xiao Cao
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Proceedings Volume 6802, Complex Systems II; 68021G (2008) https://doi.org/10.1117/12.785230
Event: SPIE Microelectronics, MEMS, and Nanotechnology, 2007, Canberra, ACT, Australia
Abstract
We study the seasonality pattern of stock returns within the year. We found that while overall the size premium is small after adjusting for delisting bias, the January returns are still larger than returns from remaining months and it is more significant for small sized companies. This obvious conflict is caused by the consistent negative returns around September, October and November. And the absolute value for small sized companies during these months are larger than large size companies. Extending to different time period and using different delisting returns do not change this pattern. We argue that demand pressure cause the results.
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Qi Zeng and Xiao Cao "Seasonality, size effect, and delisting bias", Proc. SPIE 6802, Complex Systems II, 68021G (5 January 2008); https://doi.org/10.1117/12.785230
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KEYWORDS
Information security
Complex systems
Data analysis
Lead
Statistical analysis
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