Seasonalities In The Monthly Stock Returns
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Seasonalities In The Monthly Stock Returns
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Author : Md. Khokan Bepari
language : en
Publisher:
Release Date : 2010
Seasonalities In The Monthly Stock Returns written by Md. Khokan Bepari and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
The presence of the seasonal or monthly effect in stock returns has been reported in several developed and emerging stock markets. This study investigates the existence of seasonality in return series of Dhaka Stock Exchange (DSE) of Bangladesh. The study uses the monthly return data of the DSE all share price index (DSE All Index) for the period from 1993 to 2006 for the analysis. After examining the stationarity of the return series, we specify a “combined regression-time series model” with dummy variable for months to find the monthly effect in stock returns in DSE. The results confirm the existence of seasonality in stock returns in DSE but do not support the “tax-loss-selling” hypothesis. Instead of “July effect” (January effect), we find an “April effect” in DSE. The results of the study invalidate the paradigm of the efficient market hypothesis in DSE meaning that, investors can time their share investments to improve returns.
Seasonality Of Randomly Selected Monthly Stock Market Returns
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Author : Scott Carroll
language : en
Publisher:
Release Date : 1990
Seasonality Of Randomly Selected Monthly Stock Market Returns written by Scott Carroll and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with Stock price forecasting categories.
The Persistence Of Seasonality
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Author : Vincent Smits
language : en
Publisher: LAP Lambert Academic Publishing
Release Date : 2011-04
The Persistence Of Seasonality written by Vincent Smits and has been published by LAP Lambert Academic Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-04 with categories.
Investors and academics have long been intrigued by seasonality effects on stock returns. In this research it was tested whether any significant monthly returns persist over time. The results obtained in this research provide evidence for seasonality in stock returns during the 1926 - 2009 period. Extended analysis of persistence across time showed that monthly stock returns are in fact not persistent over longer time periods, for all portfolios except for the smallest size portfolios. The extended analysis further revealed that evidence of persistence is highly correlated with the size effect.
Seasonality In Stock Returns
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Author : Kalu O. Emenike
language : en
Publisher:
Release Date : 2017
Seasonality In Stock Returns written by Kalu O. Emenike and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
This paper investigates the existence of stock returns seasonality on the Nigerian Stock Exchange (NSE). Regression-based approach was used to analyse the monthly stock return data for seasonal pattern from January 1985 to March 2011. The full sample was divided into three sub-sample periods which covers stock market events in Nigeria. Results obtained from the study indicate that the highest return occurs in the month of May. The sub-sample III results support the month of May highest return. Results from sub-sample I and II periods however show that the highest return occur in June. Further analysis reveals that the coefficients of the twelve months of the year are jointly statistically equal to zero, indicating evidence against January effects or any monthly pattern in the NSE returns.
Real Stock Returns
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Author : Prasad V. Bidarkota
language : en
Publisher:
Release Date : 1997
Real Stock Returns written by Prasad V. Bidarkota and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Dividends categories.
Seasonality In Holding Period Returns
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Author : Jason Zhanshun Wei
language : en
Publisher:
Release Date : 1998
Seasonality In Holding Period Returns written by Jason Zhanshun Wei and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with categories.
The focus of the extant stock market seasonality literature has been on the natural calendar intervals, such as day of the week or month of the year, and a month is the longest holding period that has been looked at. Using monthly indexes for ten local markets and the world market, this paper uncovers seasonalities of a different form. Specifically, it finds that seasonalities also exist for holding periods longer than a month. Indeed, seasonalities are detected for holding periods ranging from one month to eleven months. For example, for a six-month holding period, December or November are the best times to start the investment, while May or June are the worst times. The average difference (across the ten local markets) in annualized returns between the two investment periods is 23.8%! Moreover, the following intra-year pattern is found: January and December have the biggest one month growth; most of the growth within a year occurs between January and August; and the markets either are sluggish or decline between August and November.
Seasonal Stock Market Trends
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Author : Jay Kaeppel
language : en
Publisher: John Wiley & Sons
Release Date : 2008-12-22
Seasonal Stock Market Trends written by Jay Kaeppel and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-12-22 with Business & Economics categories.
There is a seasonal bias to the stock market, and by paying attention to the seasonal market tendencies you can gain an edge in the stock market over the long haul. Seasonality offers a practical approach to investing and trading. What better way to learn how to employ seasonal systems than learning from Jay Kaeppel, a master in the analysis of seasonal trends? Kaeppel walks you through this phenomenon that continues to work consistently, providing you with his ultimate seasonal index to make the calendar work for you. Stock Market Seasonals provides a never-before-seen definitive guide that illustrates how to utilize a combination of four basic seasonal tendencies in order to maximize returns.
A Monthly Effect In Stock Returns
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Author : Robert A. Ariel
language : en
Publisher: Palala Press
Release Date : 2018-03-03
A Monthly Effect In Stock Returns written by Robert A. Ariel and has been published by Palala Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-03-03 with History categories.
This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work was reproduced from the original artifact, and remains as true to the original work as possible. Therefore, you will see the original copyright references, library stamps (as most of these works have been housed in our most important libraries around the world), and other notations in the work. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. As a reproduction of a historical artifact, this work may contain missing or blurred pages, poor pictures, errant marks, etc. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.
Seasonality In Greek Common Stock Returns
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Author : Evagelos Karpatselis
language : en
Publisher:
Release Date : 2000
Seasonality In Greek Common Stock Returns written by Evagelos Karpatselis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with categories.
Seasonality In The Cross Section Of Expected Stock Returns
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Author : Steven L. Heston
language : en
Publisher:
Release Date : 2005
Seasonality In The Cross Section Of Expected Stock Returns written by Steven L. Heston and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.
This paper introduces seasonality into a model of expected stock returns. We confirm previous findings that there is no evidence for cross-sectional variation in expected stock returns when we restrict the means to be constant throughout the year. Yet, we show there is substantial variation when considering each month of the year separately. Applying a seasonal structure we estimate an annualized standard deviation of 13.8%. There is strong evidence stocks have distinct expected returns in January, February, ... December. The estimated seasonal variation in expected returns is positive in every calendar month and especially high during October, December, and January. This structure is independent of industry, size, and earnings announcements. These results support the inclusion of seasonal structure into asset-pricing models.