Seasonality in The Monthly Returns of Large and Small Stocks

Abstract

The seasonality of large stocks and small stocks have been looked at separately by researchers, but the seasonality of the two types of stocks have not been compared to each other. This paper looked at the seasonality of the two types of stocks from the perspective of means and standard deviations of monthly returns from 1926-2013. We find a negative September effect in the monthly returns of large stock. We find a positive January effect and a negative October effect for small stocks. We also find seasonality in terms of volatility for both large and small stocks.