Timing in Asset Markets

Libir, Mumi (2022): Timing in Asset Markets.

Abstract

Seasonality is a well-established phenomenon across a range of asset markets, including equities, commodities, and real estate. Although prominent attention has focused on equities, recent work highlights that liquidity cycles and strategic behavior are important across broader asset classes. This review surveys both classic and more recent contributions, emphasizing that liquidity fluctuations, search frictions, and bargaining dynamics jointly drive seasonal asset market patterns. In particular, we discuss how recent models incorporating heterogeneous agents and market imperfections naturally account for observed seasonality.

• Item Type: MPRA Paper
• Language: English
• Keywords: seasonality, asset markets
• Subjects: G - Financial Economics > G0 - General

References

Albrecht, J., Gautier, P. A., and Vroman, S. (2006). Equilibrium directed search with multiple applications. Review of Economic Studies, 73(4), 869–891

Anenberg, E., and Bayer, P. (2017). Endogenous sources of volatility in housing markets: The joint buyer-seller problem. American Economic Review, 107(10), 2913–2944.

Boudoukh, J., Richardson, M., and Whitelaw, R. F. (1994). Industry returns and the January effect: Evidence from seasonal patterns. Journal of Financial Economics, 34(3), 387–414.

Bouman, S., and Jacobsen, B. (2002). The Halloween indicator, Sell in May and go away: Another puzzle. American Economic Review, 92(5), 1618–1635.

Brunnermeier, M. K., and Julliard, C. (2008). Money illusion and housing frictions. Review of Financial Studies, 21(1), 135–180.

Carrillo, P. E. (2012). An empirical stationary equilibrium search model of the housing market. International Economic Review, 53(1), 203–234.

Carrillo, P. E. (2013). Testing the bargaining power hypothesis in the housing market. Journal of Urban Economics, 73(2), 77–92.

Dusak, K. (1973). Futures trading and investor returns: An investigation of commodity market risk premiums. Journal of Political Economy, 81(6), 1387–1406.

Fama, E. F., and French, K. R. (1988). Permanent and temporary components of stock prices. Journal of Political Economy, 96(2), 246–273.

Fisher, J. D., and Gallin, J. (2001). New data on housing and credit market flows. Real Estate Economics, 29(4), 599–621.

Genesove, D., and Han, L. (2012). Search and matching in the housing market. Journal of Urban Economics, 72(1), 31–45.

Goodman, A. C., and Thibodeau, T. G. (1998). Housing market segmentation. Journal of Housing Economics, 7(2), 121–143.

Gorton, G., and Rouwenhorst, K. G. (2006). Facts and fantasies about commodity futures. Financial Analysts Journal, 62(2), 47–68.

Heston, S. L., and Sadka, R. (2008). Seasonality in the cross-section of stock returns. Journal of Financial Economics, 87(2), 418–445.

Jordan, B. D., and Jordan, S. D. (1991). Seasonality in bond returns: The January effect. Journal of Financial and Quantitative Analysis, 26(2), 269–285.

Kamstra, M. J., Kramer, L. A., and Levi, M. D. (2003). Winter blues: A SAD stock market cycle. American Economic Review, 93(1), 324–343.

Keim, D. B. (1983). Size-related anomalies and stock return seasonality: Further empirical evidence. Journal of Financial Economics, 12(1), 13–32.

Kelly, B., and Malyshkina, N. (2014). Calendar effects in asset returns: Evidence from the options market. Review of Financial Studies, 27(5), 1457–1498.

Ngai, L. R., and Tenreyro, S. (2014). Hot and cold seasons in the housing market. American Economic Review, 104(12), 3991–4026.

Ngai, L. R., and Sheedy, K. D. (2020). The Ins and Outs of Selling Houses. Economic Journal, 130(631), 1600–1630.

Novy-Marx, R. (2009). Hot and cold markets. Real Estate Economics, 37(1), 1–22.

Rozeff, M. S., and Kinney, W. R. (1976). Capital market seasonality: The case of stock returns. Journal of Financial Economics, 3(4), 379–402.

Selcuk, C. (2013). Motivated sellers and predation in the housing market. Economic Modelling, 32, 203–214.

Selcuk, C. (2014). Seasonal cycles in a model of the housing market. Economics Letters, 123(2), 195–199.

Singleton, K. J. (2013). Investor flows and the 2008 boom/bust in oil prices. Management Science, 60(2), 300–318.

Singleton, K. J. (2014). Speculative behavior and oil price dynamics. Journal of Financial Economics, 111(1), 46–65.