CAPITAL MARKET SEASONALITY: THE CASE OF BOND RETURNS.

This article examines seasonality in U.S. bond returns. This paper consists of five sections. In the first section, seasonality in capital market returns is explained. Section two describes the data used in this study and the problems encountered. Section three discusses the evaluation methods and empirical results. Section four analyzes the results. Section five presents a summary of the theoretical discussion, as well as the empirical analysis, and suggests areas for future research on this topic.