Do stock return anomalies exhibit January and month-of-quarter (first, second or third, excluding January) effects? In his February 2015 paper entitled “Seasonalities in Anomalies”, Vincent Bogousslavsky investigates whether the following 11 widely cited U.S. stock return anomalies exhibit these effects:
- Market capitalization (size) – market capitalization last month.
- Book-to-market – book equity (excluding stocks with negative values) divided by market capitalization last December.
- Gross profitability – revenue minus cost of goods sold divided by total assets.
- Asset growth – Annual change in total assets.
- Accruals – change in working capital minus depreciation, divided by average total assets the last two years.
- Net stock issuance – growth rate of split-adjusted shares outstanding at fiscal year end.
- Change in turnover – difference between turnover last month and average turnover the prior six months.
- Illiquidity – average illiquidity the previous year.
- Idiosyncratic volatility – standard deviation of residuals from regression of daily excess returns on market, size and book-to-market factors.
- Momentum – past six-month return, skipping the last month.
- 12-month effect – average return in month t−k*12, for k = 6, 7, 8, 9, 10.
Each month, he sorts stocks into tenths (deciles) based on each anomaly variable and forms portfolios that are long (short) the decile with the highest (lowest) values of the variable. He updates all accounting inputs annually at the end of June based on data for the previous fiscal year. Using accounting data and monthly returns for a broad sample of U.S. common stocks during January 1964 to December 2013, he finds that: Keep Reading