A calendar effect is a difference between average returns on days, weeks or months defined by the calendar alone (a weekday, a day of the month, a month, the days around a holiday) and average returns on other days. Return seasonality is the recurrence of a security’s relative return at the same point of each year, such as the same calendar month.
Quantitative Finance · Begrippenlijst
Wat is Calendar effect, return seasonality?
Ook bekend als: calendar effect · return seasonality