Heston, Steven L.; Sadka, Ronnie - In: Journal of Financial and Quantitative Analysis 45 (2010) 05, pp. 1133-1160
This paper studies seasonal predictability in the cross section of international stock returns. Stocks that outperform the domestic market in a particular month continue to outperform the domestic market in that same calendar month for up to 5 years. The pattern appears in Canada, Japan, and 12...
