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.

Bee, M., Dupuis, D.J., Trapin, L. (2016). US stock returns: are there seasons of excesses?. QUANTITATIVE FINANCE, 16(9), 1453-1464 [10.1080/14697688.2016.1154596].

US stock returns: are there seasons of excesses?

Trapin, Luca
2016

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.
2016
Bee, M., Dupuis, D.J., Trapin, L. (2016). US stock returns: are there seasons of excesses?. QUANTITATIVE FINANCE, 16(9), 1453-1464 [10.1080/14697688.2016.1154596].
Bee, Marco; Dupuis, Debbie J; Trapin, Luca
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/714807
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