Seasonality In Stock Return
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Seasonality In Stock Return
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Author : Farid Bavi
language : en
Publisher:
Release Date : 2018
Seasonality In Stock Return written by Farid Bavi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
The thesis tried to find seasonality effect and evidence of Momentum strategy with the use of cross sectional method in six different markets including Australia, Frankfurt, Shanghai, XETRA, UK, and Swiss stock markets during the period of 1995-2017. The studied confirmed that, there is no effect when we calculate the earnings over the course of the months. But there is an economically significant effect when measuring the cross-section of expected stock returns across seasonal month.
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.
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.
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.
Market Maker Price Discrimination
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Author : Walter Hugo Prahl
language : en
Publisher:
Release Date : 1994
Market Maker Price Discrimination written by Walter Hugo Prahl and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with categories.
Seasonality In The Coss Section Of Stock Returns
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Author : Victor Krug Kovacs Borges
language : en
Publisher:
Release Date : 2018
Seasonality In The Coss Section Of Stock Returns written by Victor Krug Kovacs Borges and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
Return Seasonality In The Major World Stock Markets
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Author : Mark C. Kennard
language : en
Publisher:
Release Date : 1991
Return Seasonality In The Major World Stock Markets written by Mark C. Kennard and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with Seasonal variations (Economics) categories.
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 Stock Returns
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Author : Mostafa Seif
language : en
Publisher:
Release Date : 2019
Seasonality In Stock Returns written by Mostafa Seif and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
Despite an extensive number of studies documenting evidence of seasonal anomalies in developed markets, only a few studies have comprehensively examined these anomalies within emerging markets. Testing the robustness of seasonal anomalies in emerging markets would first, help to examine the theoretical explanations that have been proposed and second, provide an out-of-sample result for these seasonality anomalies. This study examines the efficiency of advanced emerging markets by testing five seasonal anomalies: the month of the year, other January, day-of-the-week, holiday, and week 44. Evidence is reported that is consistent with all of these seasonal anomalies with the exception of the other January effect; supporting the argument that advanced emerging markets are less than perfectly efficient.
Firm Size Stock Return Seasonality And Stock Market Overreaction
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Author : Surat Udomrungruang
language : en
Publisher:
Release Date : 2006
Firm Size Stock Return Seasonality And Stock Market Overreaction written by Surat Udomrungruang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Capital assets pricing model categories.