Are Seasonal Anomalies Real? A Ninety-Year Perspective

  title={Are Seasonal Anomalies Real? A Ninety-Year Perspective},
  author={Josef Lakonishok and Seymour Smidt},
  journal={Review of Financial Studies},
In recent years there has been a proliferation of empirical studies documenting unexpected or anomalous regularities in security rates of return. In addition to the widely studied relation between firm size and rate of return,1 these include seasonal regularities related to the time of the day [Harris (1986)], the day of the week [see Ball and Bowers (1986), Cross (1973), French (1980), Gibbons and Hess (1981), Jaffe and Westerfield (1985), Keim and Stambaugh (1984), and Lakonishok and Levi… 

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