Download or read book Stock Return Seasonalities and Investor Structure written by Martin T. Bohl and published by . This book was released on 2009 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Factor Structure Seasonality of Stock Returns written by D. Chinhyung Cho and published by . This book was released on 1986 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Seasonal Stock Market Trends written by Jay Kaeppel and published by John Wiley & Sons. This book was released on 2008-12-22 with total page 325 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Stock Return Seasonalities and the Tax loss Selling Hypothesis written by Terry A. Marsh and published by . This book was released on 1982 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Firm Size Stock Return Seasonality and the Trading Pattern of Individual and Institutional Investors written by George Athanassakos and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Consistent with U.S. evidence showing a significant January effect, Canadian stocks, both large and small, are found to exhibit a strong first quarter seasonal effect. Evidence appears to support the hypothesis that the behavior of institutional investors explains this effect to some extent for both large- and small-cap stocks. Individual investors seem to be the marginal traders whose trades affect the prices of small stocks in all but the first quarter. The findings have implications for market efficiency as well as for identifying the best times that portfolio managers and brokers aggressively approach potential customers.

Download or read book Stock Return Seasonalities and the Tax Loss Selling Hypothesis written by Terry a Marsh and published by Palala Press. This book was released on 2015-09-07 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Stock Returns and Investor Structure written by Johannes Michael Schuppli and published by . This book was released on 2010 with total page 250 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stock Return Seasonalities and the Tax Loss Selling Hypothesis written by Terry A. Marsh and published by . This book was released on 2015-08-05 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: Excerpt from Stock Return Seasonalities and the "Tax-Loss Selling" Hypothesis: Analysis of the Arguments and Australian Evidence About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.

Download or read book Triumph of the Optimists written by Elroy Dimson and published by Princeton University Press. This book was released on 2002-02-03 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investors have too often extrapolated from recent experience. In the 1950s, who but the most rampant optimist would have dreamt that over the next fifty years the real return on equities would be 9% per year? Yet this is what happened in the U.S. stock market. The optimists triumphed. However, as Don Marquis observed, an optimist is someone who never had much experience. The authors of this book extend our experience across regions and across time. They present a comprehensive and consistent analysis of investment returns for equities, bonds, bills, currencies and inflation, spanning sixteen countries, from the end of the nineteenth century to the beginning of the twenty-first. This is achieved in a clear and simple way, with over 130 color diagrams that make comparison easy. Crucially, the authors analyze total returns, including reinvested income. They show that some historical indexes overstate long-term performance because they are contaminated by survivorship bias and that long-term stock returns are in most countries seriously overestimated, due to a focus on periods that with hindsight are known to have been successful. The book also provides the first comprehensive evidence on the long-term equity risk premium--the reward for bearing the risk of common stocks. The authors reveal whether the United States and United Kingdom have had unusually high stock market returns compared to other countries. The book covers the U.S., the U.K., Japan, France, Germany, Canada, Italy, Spain, Switzerland, Australia, the Netherlands, Sweden, Belgium, Ireland, Denmark, and South Africa. Triumph of the Optimists is required reading for investment professionals, financial economists, and investors. It will be the definitive reference in the field and consulted for years to come.

Download or read book Investor psychology and return seasonalities in the cross section written by Yuting Meng DiGiovanni and published by . This book was released on 2016 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Seasonalities in China s Stock Markets Cultural or Structural written by Li L. Ong and published by INTERNATIONAL MONETARY FUND. This book was released on 2006-01-01 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we examine returns in the Chinese A and B stock markets for evidence of calendar anomalies. We find that both cultural and structural (segmentation) factors play an important role in influencing the pricing of both A- and B-shares in China. There is some evidence of a February turn-of-the-year effect, partly owing to the timing of the Chinese Lunar New Year (CNY); and the holiday effect around the CNY period is stronger and more persistent compared with the other public holidays. The segmentation between the two markets is apparent in the day-of-the-week effect, where B stock markets tend to post significant negative returns on Tuesdays, corresponding with overnight developments in the United States, while significant negative returns are observed on Mondays in the A stock markets. Investment strategies based on some of these calendar anomalies, and allowing for transaction costs, suggest that the A stock markets tend to offer more economically significant returns.

Download or read book Regulatory Reform in China and the EU written by Stefan E. Weishaar and published by Edward Elgar Publishing. This book was released on 2017-08-25 with total page 297 pages. Available in PDF, EPUB and Kindle. Book excerpt: With the Chinese government planning a comprehensive and detailed reform of regulatory law, the European experience is likely to contribute significantly. This timely book analyses comparative Chinese and EU regulatory reform from a Law and Economics perspective.

Download or read book Size Related Anomalies and Stock Return Seasonality written by Donald Bruce Keim and published by . This book was released on 1981 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stock Return Anomalies Industry Risk and Capital Structure written by Engin Kose and published by . This book was released on 2012 with total page 131 pages. Available in PDF, EPUB and Kindle. Book excerpt: My dissertation studies several topics related to the anomalous behavior of stock returns in the time series and cross section. It includes three parts. The first part investigates the relation between leverage and stock returns. First, we provide the first empirical evidence that this relation is masked by maturity: stocks with higher short-maturity debt earn significantly higher returns, but stocks with higher long-maturity debt earn lower returns. The opposite directions separated by maturity help explain why the relation between leverage and returns has been mixed. We further show that the positive short-maturity return spread is significant, persistent, and not explained by well-known risk factors (such as size or book to market). Second, we also provide the first theoretical model to explain the relation between maturity-related leverage and stock returns by endogenizing debt maturity; Firms optimally choose the maturity of their debt by trading off the cost of long term maturity with its financial risk on equity. Firms with lower credit quality find it more expensive to borrow long term, so they optimally have debt with shorter maturity. In equilibrium, firms with higher short-term debt or lower long-term debt are riskier firms and earn higher expected returns. We show that the empirical evidence we uncover can be consistent with theoretical predictions. In the second part; my co-authors, Long Chen, Ohad Kadan and I demonstrate an inconsistency of the momentum and reversal effects in explaining stock return dynamics. We argue that a two-way sorting based on long-term and recent performance can accommodate the two effects by distinguishing between fresh and stale winners and losers. Building on this idea, we propose a 'fresh momentum' strategy which invests in fresh winners and fresh losers only. This strategy generates a fresh momentum profit of 5.1\% per year even after controlling for the Carhart four-factor model (including momentum). To explain the phenomenon, we argue that investors mistakenly respond to shocks to firm fundamentals as if they are going to continue in the long run, and these mistakes are exacerbated for fresh momentum stocks, presumably generating the abnormally large returns over the short run. This hypothesis is strongly supported by evidence from earnings shocks, analyst forecast revisions, and post-earnings announcement returns. In the third part, my co-author, Long Chen and I provide one of the first papers to document extensive stock return anomalies at the industry level. We find smaller industries, industries with lower investment and industries with lower inventory changes have bigger average industry returns. Value industries have lower industry returns in contrast to higher average returns of value firms. These anomalies are robust to even controlling for known (firm-level sorted) risk factors. We further explore the relation between these anomalies and business cycles. We find consistent business cycle dynamics with the return spreads associated with these anomalies.

Download or read book Expected Returns written by Antti Ilmanen and published by John Wiley & Sons. This book was released on 2011-04-20 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt: This comprehensive reference delivers a toolkit for harvesting market rewards from a wide range of investments. Written by a world-renowned industry expert, the reference discusses how to forecast returns under different parameters. Expected returns of major asset classes, investment strategies, and the effects of underlying risk factors such as growth, inflation, liquidity, and different risk perspectives, are also explained. Judging expected returns requires balancing historical returns with both theoretical considerations and current market conditions. Expected Returns provides extensive empirical evidence, surveys of risk-based and behavioral theories, and practical insights.

Download or read book Common Factors in Return Seasonalities written by Matti Keloharju and published by . This book was released on 2014 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: A strategy that selects stocks based on their historical same-calendar-month returns earns an average return of 13% per year. We document similar return seasonalities in anomalies, commodities, international stock market indices, and at the daily frequency. The seasonalities overwhelm unconditional differences in expected returns. The correlations between different seasonality strategies are modest, suggesting that they emanate from different common factors. Our results suggest that seasonalities are not a distinct class of anomalies that requires an explanation of its own -- rather, they are intertwined with other return anomalies through shared common factors. A theory that is able to explain the risks behind any common factor is thus likely able to explain a part of the seasonalities.

Download or read book Seasonality in the Cross Section of Expected Stock Returns written by Steven L. Heston and published by . This book was released on 2005 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.