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Quantitative Finance · Glossário

O que é Calendar effect, return seasonality?

Também chamado de: calendar effect · return seasonality

Definition 23.1 Strategies I: Equities and Futures · Capítulo 23 — Seasonality and Calendar Effects

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.

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