Data, Programs, Appendices
Materials to accompany "Seasonal Variation in Treasury
Returns" (formerly titled "Opposing Seasonality in Treasury Versus Equity
Returns"):
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Appendices to accompany the paper.
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Additionally,
below I provide data for the Onset/Recovery variable defined in this paper.
Use of the Onset/Recovery variable is recommended for settings where
you expect seasonal risk aversion to lead to opposite signs on
the dependent variable across the fall and winter periods.
That is, it is appropriate for studying "flow" variables (as opposed to "stock"
variables). For example,
use of the Onset/Recovery variable is appropriate to use when
considering security returns. (Daily
equity returns are expected to be negative in the fall, as risk averse
investors shun risky assets. Then daily equity returns are expected to be
positive in the winter, as investors resume their former risky holdings.
Similarly daily Treasury bond returns are expected to be positive in the
fall and negative in winter.)
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The Onset/Recovery variable (OR) is available in raw text format in
monthly
or
daily
form.
-
The Onset/Recovery variable (OR) is available as a SAS dataset in
monthly or
daily
form.
- Note that in the daily data files,
"Julian" refers to the day of the year (from 1 to 365, or 366 in leap years).
For non-leap years,
simply delete the 366th observation.
Materials to accompany "Seasonal Asset Allocation: Evidence
from Mutual Fund Flows":
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Appendices to accompany the
current (August 2014) version of the paper.
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Archived:
Old appendices to accompany the
December 2013 version of the paper.
Materials to accompany "Seasonal Cycles in Bid-Ask Spreads":
Below I provide data for the Incidence variable defined in this paper.
Use of the Incidence variable is recommended for settings where
you expect seasonal risk aversion to lead to the
same sign on
the dependent variable across the fall and winter periods. That is,
it is appropriate for studying "stock" variables (as opposed to
"flow" variables). For example,
use of the Incidence variable is appropriate for use when
considering bid-ask spreads.
When considering bid-ask spreads,
one expects seasonal depression to lead to a spread between dealer bid
and ask quotes that is wider during both the fall and winter seasons than
during the rest of the year. As such, the Incidence variable, which has
the same sign across the fall and winter periods, is appropriate.
-
The Incidence variable is available in raw text format in
monthly
or
daily
form.
-
The Incidence variable is available in SAS dataset format in
monthly
or
daily
form.
- Note that for the daily data,
"Julian" refers to the day of the year (from 1 to 365, or 366 in leap years).
For non-leap years,
simply delete the 366th observation.
Materials to accompany "Winter Blues: A SAD Stock Market Cycle":
-
Appendix containing sensitivity checks and a table of gains to various
pro-SAD trading strategies
- If you are interested in estimating the effect of seasonal risk aversion
on equity returns, I recommend that you use the Onset/Recovery variable we
introduce in our "Opposing Seasonalities in Treasury Versus Equity Returns"
paper instead of the obsolete sine wave and Fall dummy variable specification
that we employed in our original "Winter Blues..." paper. It yields virtually
indentical results without relying on an ad hoc dummy variable.
Materials to accompany "This is Your Portfolio on Winter: Seasonal
Affective Disorder and Risk Aversion in Financial Decision Making":