TY - JOUR T1 - A Valuation Study of Stock Market Seasonality and the Size Effect JF - The Journal of Portfolio Management SP - 78 LP - 92 DO - 10.3905/jpm.2010.36.3.078 VL - 36 IS - 3 AU - Chen Zhiwu AU - Jan Jindra Y1 - 2010/04/30 UR - https://pm-research.com/content/36/3/78.abstract N2 - Existing studies on market seasonality and the size effect are largely based on realized returns. In this article, Chen and Jindra investigate seasonal variations and size-related differences in a cross-stock valuation distribution. They use three stock valuation measures, two derived from structural models and one from the book-to-market ratio. The authors find that the average valuation level is highest in mid-summer and lowest in mid-December. Furthermore, the valuation dispersion (kurtosis) across stocks increases toward year-end and reverses direction after the turn of the year, suggesting increased movements in both the underand overvaluation directions. Among size groups, small-cap stocks exhibit the sharpest decline in valuation from June to December and the highest rise from December to January. For most months, small-cap stocks have the lowest valuation among all size groups and show the widest cross-stock valuation dispersion, meaning that they are also the hardest to value. Overall, large-cap stocks enjoy the highest valuation uniformity and are the least subject to valuation seasonality.TOPICS: In markets, analysis of individual factors/risk premia, quantitative methods ER -