QUEEN’S BUSINESS SCHOOL FINANCE SEMINAR SERIES

Wednesday 14^th January

1pm

“October Seasonality in Stock Return Synchronicity”

Arbab Cheema

QUB/QBS

Abstract

We present evidence that individual stock returns comove more in the month of October as compared to all other calendar months, using the CRSP universe of US stocks from 1929 to 2024. This pattern is robust to alternate factor models and rolling window periods. Comovement remains higher in both up- and down-market conditions.

QBS Conference Hub, Seminar Room 01.012