Seasonal Stock Return Patterns In The Seven Industrialized Nations

Abstract

The paper extends research on the January effect on the G7 countries by evaluating it by decade through 2001.  The January effect peaked during the 1970s and is smaller and less common in recent years.  The data reveal a marked seasonal return pattern with higher returns in December through May than in June through November.  The pattern, not related to the January effect, is more common in recent years.