Construct · 1 fields · 1 citations

return seasonality: a standalone construct

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Asset pricing

the pattern in which a stock's relative return in a given calendar month predicts its relative return in the same month in later years.

In asset pricing, return seasonality refers to the pattern in which a stock's relative return in a given calendar month predicts its relative return in the same month in later years. This meaning comes from Heston (2008) in Journal of Financial Economics.[1]

Unit
Recovery means
Measured by

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Nearby constructs

asset2 fields · 2 citationsjingle · one word, two constructs pattern4 fields · 5 citationsjingle · one word, four constructs return3 fields · 3 citationsjingle · one word, three constructs

References

Heston, S., & Sadka, R. (2008). Seasonality in the cross-section of stock returns☆. Journal of Financial Economics, 87(2), 418-445. https://doi.org/10.1016/j.jfineco.2007.02.003

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