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Seasonality with Fourier Transform

June 2021

DOI:10.13140/RG.2.2.14153.06240

Languages: R

Authors:

Kaloyan Petkov

ABIR Analytic

Quick and easy way to spot seasonality patterns in stock returns using Fourier Transform algorithm in R/RStudio

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Seasonality with Fourier Trans

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Role of equity valuation in Active Portfolio Management

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Return seasonality and tax-loss selling in the market for long-term government and corporate bonds

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We document a January seasonal in the U.S. market for long-term corporate bonds that becomes more evident as the bond rating declines. Moreover, a similar, but weaker, relation is observed for the stocks of firms with low-quality bonds. These patterns may relate to firm size since bond ratings and firm size in our sample are positively related. However, even our smallest firms are relatively ... [Show full abstract] large. Much of the January effect we document appears to be consistent with the tax-loss selling hypothesis.

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This study examines call and put option returns from 1983 to 1985 for the presence of a January seasonal effect, a monthly effect, and a day-of-the-week effect. Results indicate the presence of seasonality in call returns, with returns significantly higher in early January and significantly lower on Mondays. Put returns generally exhibit less seasonality, although out-of-the-money put options are ... [Show full abstract] significantly lower in January and in-the-money put options are significantly lower in early January. These results are generally consistent with stock return patterns. Copyright 1989 by MIT Press.

Seasonality with Fourier Transform

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