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.
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 Seasonality in Stock Return written by Farid Bavi and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book A Monthly Effect in Stock Returns written by Robert A. Ariel and published by Palala Press. This book was released on 2018-03-03 with total page 52 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 The Cross section of Stock Returns written by Stijn Claessens and published by World Bank Publications. This book was released on 1995 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Seasonality in the Coss section of Stock Returns written by Victor Krug Kovacs Borges and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Seasonality written by Jake Bernstein and published by John Wiley & Sons. This book was released on 1998-03-30 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: a groundbreaking look at trading the markets with one of the most important forecasting tools available . . . "If you've ever wondered about the validity of seasonals or how to trade them, buy this book now!" --Glen Larson, Genesis Data Services "Jake does it again. This time his extensive research really leaps out as he makes seasonal trading easy to understand and a very useful tool for any commodity trader." --Jeffrey H. Fox, Fox Investments. Is there a "holy grail" of price prediction? Traders have long been in pursuit of one, and while a handful of strategies, techniques, and methodologies have proven noteworthy, the search continues for the ultimate forecasting instrument --if one does indeed exist. The theory and methods of seasonality may well prove to be a step in the right direction to this goal. In this unique new book, a leading seasonal trading analyst examines seasonality in-depth, elucidating the concise principles, numerous advantages, and enormous potential that make it one of the most important --and effective --methods currently available for targeting futures price trends. Over the years, considerable attention has been paid to the effects of interest rates, money supply, earnings, inflation, and other key factors on stock and commodity prices. Yet, the immense impact of seasonal price tendencies has been either grossly underestimated or completely ignored. Often overlooked, but equally significant, seasonality is based on the assumption that seasonal influences cause biases in the movement of market prices. Among its many advantages, seasonality allows the trader to formulate objective decisions founded on a logical, verifiable, and operational methodology, creating a backdrop of probable market trends in most time frames and in most markets, and providing historically valid input for use as an adjunct to other analytical methods and timing indicators. The essence of seasonality is found in its lengthy history and statistically testable methodologies. However, seasonal correlations are not 100 percent foolproof. Using seasonal data to time the market involves an unavoidable degree of subjectivity --unless you have a firm grasp of seasonal timing concepts and techniques. Now, in the first resource devoted exclusively to the subject, Jake Bernstein gives you the foundation necessary to implement this powerful tool effectively and with confidence. Balancing theory and practice, Bernstein provides a thorough, real-world understanding of seasonal timing concepts and techniques. Along with results of his own extensive research, he integrates the work of numerous market analysts, such as W. D. Gann, Art Merrill, Burton Pugh, Samuel Benner, and Yale Hirsch, among others, to create a pragmatic and highly functional analytical framework. With his accessible, comprehensive coverage of significant concepts such as seasonal spread relationships, key dates, and cash tendencies, you'll be able to discern seasonal patterns in monthly and daily cash and futures data. Once the basics are firmly in place, Bernstein leads you step by step through the essential process of formulating a seasonal trading program that incorporates important timing strategies and risk management tools. An ideal overview for any trader, investor, or analyst, this lucidly written and clearly organized resource emphasizes the validity and significance of seasonality. Jake Bernstein has compiled a comprehensive guide to the effective use of seasonal concepts and methods in the futures markets. This is a major work that belongs on the shelves of all serious traders.
Download or read book Seasonality of Randomly Selected Monthly Stock Market Returns written by Scott Carroll and published by . This book was released on 1990 with total page 160 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Seasonality in Stock Returns written by Kalu O. Emenike and published by . This book was released on 2017 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Seasonality of Volatility written by Michael Thomas Boudreau and published by . This book was released on 1988 with total page 160 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 Return Seasonality in the Major World Stock Markets written by Mark C. Kennard and published by . This book was released on 1991 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Seasonality in Common Stock Returns Evidence in China s Stock Markets written by Qian Hu and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Seasonality and Stock Returns written by Shigeyuki Hamori and published by . This book was released on 2000 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Seasonality in Stock Returns written by Mostafa Seif and published by . This book was released on 2019 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
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 The Persistence of Seasonality written by Vincent Smits and published by LAP Lambert Academic Publishing. This book was released on 2011-04 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
