Seasonality In Holding Period Returns

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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 Variations In Price Changes And Holding Period Returns Of Common Stocks

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Author : Richard Wolcott McEnally
language : en
Publisher:
Release Date : 1976

Seasonal Variations In Price Changes And Holding Period Returns Of Common Stocks written by Richard Wolcott McEnally and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1976 with Investments categories.

Holding Period Return Risk Modeling

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Author : Winfried G. Hallerbach
language : en
Publisher:
Release Date : 2013

Holding Period Return Risk Modeling written by Winfried G. Hallerbach and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.

In this paper we explore the theoretical and empirical problems of estimating average(excess) return and risk of US equities over various holding periods and sampleperiods. Our findings are relevant for performance evaluation, for estimating thehistorical equity risk premium, and for investment simulation.Using a unique set of US equity data series, comprising monthly prices anddividends based on consistent definitions over the 132 year period 1871-2002, weinvestigate the complex effect of temporal return aggregation and sample estimationerror. Our major finding is that holding period risk and return statistics show anextraordinary sensitivity to the choice of the starting point in calendar time. Forexample, over the period 1926-2002 there is a difference of almost 140 basis pointsbetween the average annual total return starting in January compared to starting inJuly, and a difference of almost 7 (!) percentage points in estimated annual volatility.This is yet another way in which stock price seasonality manifests itself, but thisambiguity in the underlying estimation process seems completely neglected in thecurrent literature.

Holding Period Returns And Risk Premia On Taiwan Money Market Securities

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Author : Shyan Yuan Lee
language : en
Publisher:
Release Date : 1998

Holding Period Returns And Risk Premia On Taiwan Money Market Securities written by Shyan Yuan Lee 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.

This paper is to test whether holding period returns and risk premia of financial instruments in Taiwan money market are significantly positive. This paper also investigates the relationship between business cycle and both holding period returns and risk premia. We find that holding period returns on all instruments increase monotonically with maturity and there exists risk premium in the return on any instrument but no default premium in the secondary market. Also, holding period returns and risk premia move opposite with business cycle except the default premium in the secondary market. Furthermore, this paper examines whether security firms earn higher profit from operations in the primary market than from the secondary market and whether there exists seasonality enjoy more profitable business in the primary market than in the secondary market. Most returns are low around the new year and high in the second and third quarters.

Three Essays On Stock Market Seasonality

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Author : Hyung-suk Choi
language : en
Publisher:
Release Date : 2008

Three Essays On Stock Market Seasonality written by Hyung-suk Choi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.

Cybernetic Trading Strategies

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Author : Murray A. Ruggiero
language : en
Publisher: John Wiley & Sons
Release Date : 1997-07-01

Cybernetic Trading Strategies written by Murray A. Ruggiero 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 1997-07-01 with Business & Economics categories.

Ein Überblick über die aktuellsten Technologien zum Aufbau einer Handelsstrategie: neuronale Netzwerke, genetische Algorithmen, Expertensysteme, Fuzzy logic und statistische Mustererkennung. Gezeigt wird, wie diese neuen Methoden in klassische Analysenverfahren integriert werden können. Auch Erläuterungen zur Prüfung und Bewertung existierender Systeme kommen nicht zu kurz.

Dissertation Abstracts International

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Author :
language : en
Publisher:
Release Date : 2004

Dissertation Abstracts International written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Dissertations, Academic categories.

Abstracts of dissertations available on microfilm or as xerographic reproductions.

The Handbook Of Equity Market Anomalies

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Author : Leonard Zacks
language : en
Publisher: John Wiley & Sons
Release Date : 2011-10-04

The Handbook Of Equity Market Anomalies written by Leonard Zacks 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 2011-10-04 with Business & Economics categories.

Investment pioneer Len Zacks presents the latest academic research on how to beat the market using equity anomalies The Handbook of Equity Market Anomalies organizes and summarizes research carried out by hundreds of finance and accounting professors over the last twenty years to identify and measure equity market inefficiencies and provides self-directed individual investors with a framework for incorporating the results of this research into their own investment processes. Edited by Len Zacks, CEO of Zacks Investment Research, and written by leading professors who have performed groundbreaking research on specific anomalies, this book succinctly summarizes the most important anomalies that savvy investors have used for decades to beat the market. Some of the anomalies addressed include the accrual anomaly, net stock anomalies, fundamental anomalies, estimate revisions, changes in and levels of broker recommendations, earnings-per-share surprises, insider trading, price momentum and technical analysis, value and size anomalies, and several seasonal anomalies. This reliable resource also provides insights on how to best use the various anomalies in both market neutral and in long investor portfolios. A treasure trove of investment research and wisdom, the book will save you literally thousands of hours by distilling the essence of twenty years of academic research into eleven clear chapters and providing the framework and conviction to develop market-beating strategies. Strips the academic jargon from the research and highlights the actual returns generated by the anomalies, and documented in the academic literature Provides a theoretical framework within which to understand the concepts of risk adjusted returns and market inefficiencies Anomalies are selected by Len Zacks, a pioneer in the field of investing As the founder of Zacks Investment Research, Len Zacks pioneered the concept of the earnings-per-share surprise in 1982 and developed the Zacks Rank, one of the first anomaly-based stock selection tools. Today, his firm manages U.S. equities for individual and institutional investors and provides investment software and investment data to all types of investors. Now, with his new book, he shows you what it takes to build a quant process to outperform an index based on academically documented market inefficiencies and anomalies.

Windfall Profit In Portfolio Diversification An Empirical Analysis Of The Potential Benefits Of Renewable Energy Investments

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Author : Frederik Bruns
language : en
Publisher: Diplomica Verlag
Release Date : 2013

Windfall Profit In Portfolio Diversification An Empirical Analysis Of The Potential Benefits Of Renewable Energy Investments written by Frederik Bruns and has been published by Diplomica Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Business & Economics categories.

Modern Portfolio Theory is a theory which was introduced by Markowitz, and which suggests the building of a portfolio with assets that have low or, in the best case, negative correlation. In times of financial crises, however, the positive diversification effect of a portfolio can fail when Traditional Assets are highly correlated. Therefore, many investors search for Alternative Asset classes, such as Renewable Energies, that tend to perform independently from capital market performance. 'Windfall Profit in Portfolio Diversification?' discusses the potential role of Renewable Energy investments in an institutional investor’s portfolio by applying the main concepts from Modern Portfolio Theory. Thereby, the empirical analysis uses a unique data set from one of the largest institutional investors in the field of Renewable Energies, including several wind and solar parks. The study received the Science Award 2012 of the German Alternative Investments Association ('Bundesverband Alternative Investments e.V.').

Stock Market Anomalies

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Author : Elroy Dimson
language : en
Publisher: CUP Archive
Release Date : 1988-03-17

Stock Market Anomalies written by Elroy Dimson and has been published by CUP Archive this book supported file pdf, txt, epub, kindle and other format this book has been release on 1988-03-17 with Business & Economics categories.