Mr. Qi Zeng Profile

Qi Zeng

at Univ of Melbourne

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Proceedings Article | 5 January 2008 Paper

Seasonality, size effect, and delisting bias

Qi Zeng, Xiao Cao

Proceedings Volume 6802, 68021G (2008) https://doi.org/10.1117/12.785230

KEYWORDS: Information security, Lead, Complex systems, Data analysis, Statistical analysis

Read 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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