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US stock returns: are there seasons of excesses?

Author

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  • Marco Bee
  • Debbie J. Dupuis
  • Luca Trapin
Abstract
This article explores the existence of seasonality in the tails of stock returns. We use a parametric model to describe the returns, and obtain a proxy of the innovation distribution via a pre-processing model. Then, we develop a change-point algorithm capturing changes in the tails of the innovations. We confirm the good performance of the procedure through extensive Monte Carlo experiments. An empirical investigation using US stocks data shows that while the lower tail of the innovations is approximately constant over the year, the upper tail is larger in Winter than in Summer, in 9 out of 12 industries.

Suggested Citation

  • Marco Bee & Debbie J. Dupuis & Luca Trapin, 2016. "US stock returns: are there seasons of excesses?," Quantitative Finance, Taylor & Francis Journals, vol. 16(9), pages 1453-1464, September.
    • Handle: RePEc:taf:quantf:v:16:y:2016:i:9:p:1453-1464
    DOI: 10.1080/14697688.2016.1154596
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    2. Cordero, Arkangel M., 2023. "Community and aftershock: New venture founding in the wake of deadly natural disasters," Journal of Business Venturing, Elsevier, vol. 38(2).

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