Seasonality In The Cross Section Of Expected Stock Returns

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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.

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.

The Cross Section Of Expected Stock Returns

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Author : Eugene F. Fama
language : en
Publisher:
Release Date : 1992

The Cross Section Of Expected Stock Returns written by Eugene F. Fama and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with Rate of return categories.

The Extreme Bounds Of The Cross Section Of Expected Stock Returns

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Author : J. Benson Durham
language : en
Publisher:
Release Date : 2002

The Extreme Bounds Of The Cross Section Of Expected Stock Returns written by J. Benson Durham and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Stocks categories.

Parallels Between The Cross Sectional Predictability Of Stock And Country Returns

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Author : Clifford S. Asness
language : en
Publisher:
Release Date : 1998

Parallels Between The Cross Sectional Predictability Of Stock And Country Returns written by Clifford S. Asness 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.

Book-to-market ratio (BE/ME), market equity (ME), and one- year past return (momentum) (MOM) help explain the cross- section of expected individual stock returns within the U.S. and within other countries. Examining equity markets as a whole, in contrast to individual stocks, we uncover strong parallels between the explanatory power of these variables for individual stocks and for countries. First, country versions of BE/ME, ME, and MOM help explain the cross-section of expected country returns. Second, the January seasonal in ME's explanatory power for stocks also appears for countries. Third, portfolios formed by sorting stocks and countries on these variables produce similar patterns in profitability before and after the portfolio formation date.

Another Look At The Cross Section Of Expected Stock Returns

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Author : S. P. Kothari
language : en
Publisher:
Release Date : 1994

Another Look At The Cross Section Of Expected Stock Returns written by S. P. Kothari and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with Stocks categories.

Perspectives On Equity Indexing

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Author : Frank J. Fabozzi, CFA
language : en
Publisher: John Wiley & Sons
Release Date : 2000-06-15

Perspectives On Equity Indexing written by Frank J. Fabozzi, CFA 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 2000-06-15 with Business & Economics categories.

This is the second edition of Professional Perspectives on Indexing. Contents include the active versus passive debate, Standard and Poor's U.S. equity indexes, medium and small capitalization indexing, global equity index families, investing in index mutual funds, and more.

On The Cross Section Of Conditionally Expected Stock Returns

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Author : Hui Guo
language : en
Publisher:
Release Date : 2003

On The Cross Section Of Conditionally Expected Stock Returns written by Hui Guo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Stock price forecasting categories.

Empirical Asset Pricing

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Author : Turan G. Bali
language : en
Publisher: John Wiley & Sons
Release Date : 2016-02-26

Empirical Asset Pricing written by Turan G. Bali 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 2016-02-26 with Business & Economics categories.

“Bali, Engle, and Murray have produced a highly accessible introduction to the techniques and evidence of modern empirical asset pricing. This book should be read and absorbed by every serious student of the field, academic and professional.” Eugene Fama, Robert R. McCormick Distinguished Service Professor of Finance, University of Chicago and 2013 Nobel Laureate in Economic Sciences “The empirical analysis of the cross-section of stock returns is a monumental achievement of half a century of finance research. Both the established facts and the methods used to discover them have subtle complexities that can mislead casual observers and novice researchers. Bali, Engle, and Murray’s clear and careful guide to these issues provides a firm foundation for future discoveries.” John Campbell, Morton L. and Carole S. Olshan Professor of Economics, Harvard University “Bali, Engle, and Murray provide clear and accessible descriptions of many of the most important empirical techniques and results in asset pricing.” Kenneth R. French, Roth Family Distinguished Professor of Finance, Tuck School of Business, Dartmouth College “This exciting new book presents a thorough review of what we know about the cross-section of stock returns. Given its comprehensive nature, systematic approach, and easy-to-understand language, the book is a valuable resource for any introductory PhD class in empirical asset pricing.” Lubos Pastor, Charles P. McQuaid Professor of Finance, University of Chicago Empirical Asset Pricing: The Cross Section of Stock Returns is a comprehensive overview of the most important findings of empirical asset pricing research. The book begins with thorough expositions of the most prevalent econometric techniques with in-depth discussions of the implementation and interpretation of results illustrated through detailed examples. The second half of the book applies these techniques to demonstrate the most salient patterns observed in stock returns. The phenomena documented form the basis for a range of investment strategies as well as the foundations of contemporary empirical asset pricing research. Empirical Asset Pricing: The Cross Section of Stock Returns also includes: Discussions on the driving forces behind the patterns observed in the stock market An extensive set of results that serve as a reference for practitioners and academics alike Numerous references to both contemporary and foundational research articles Empirical Asset Pricing: The Cross Section of Stock Returns is an ideal textbook for graduate-level courses in asset pricing and portfolio management. The book is also an indispensable reference for researchers and practitioners in finance and economics. Turan G. Bali, PhD, is the Robert Parker Chair Professor of Finance in the McDonough School of Business at Georgetown University. The recipient of the 2014 Jack Treynor prize, he is the coauthor of Mathematical Methods for Finance: Tools for Asset and Risk Management, also published by Wiley. Robert F. Engle, PhD, is the Michael Armellino Professor of Finance in the Stern School of Business at New York University. He is the 2003 Nobel Laureate in Economic Sciences, Director of the New York University Stern Volatility Institute, and co-founding President of the Society for Financial Econometrics. Scott Murray, PhD, is an Assistant Professor in the Department of Finance in the J. Mack Robinson College of Business at Georgia State University. He is the recipient of the 2014 Jack Treynor prize.

Higher Idiosyncratic Moments And The Cross Section Of Expected Stock Returns

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Author : John Byong Tek Lee
language : en
Publisher:
Release Date : 2008

Higher Idiosyncratic Moments And The Cross Section Of Expected Stock Returns written by John Byong Tek Lee and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Rate of return categories.