Seasonality based style rotation strategy in major stock markets

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This paper examines seasonality in returns to style portfolios in major stock markets - Germany, Japan, the U.K., and the U.S. Kwon and Choi (2014) find that style returns in the U.S. markets exhibit substantial variations across calendar months and that the seasonal pattern of the style returns is not limited to January or the end of each quarter as reported in the previous literature. The author extends their analysis to major stock markets in the world by examining monthly returns on the style portfolios classified by the six size/book-to-market sorting and the six size/prior-return sorting over the sample period of 1982-2006. The empirical results show that substantial seasonal patterns in style returns in each of these markets and the seasonal style rotation strategy yields economically and statistically significant profits in all of these stock markets.

Original languageEnglish
Pages (from-to)178-188
Number of pages11
JournalInvestment Management and Financial Innovations
Issue number1
StatePublished - 2014


  • Momentum effect
  • Seasonal trading strategies
  • Size effect
  • Style portfolio
  • Value effect


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