Capital market seasonality the case of stock returns

Posted: Snegovik Date: 29.06.2017

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Capital market seasonality : the case of stock returns - EconBiz

In this paper we present evidence on the existence of seasonality in monthly rates of return on the New York Stock Exchange from — With the exception of the — period, there are statistically significant differences in mean returns among months due primarily to large January returns. Dispersion measures reveal no consistent seasonal patterns and the characteristic exponent seems invariant among months.

We also explore possible implications of the observed seasonality for the capital asset pricing model and other research. Journals Books Register Sign in Sign in using your ScienceDirect credentials Username.

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Please enable JavaScript to use all the features on this page. Journal of Financial Economics Volume 3, Issue 4 , October , Pages The case of stock returns.

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capital market seasonality the case of stock returns

Abstract In this paper we present evidence on the existence of seasonality in monthly rates of return on the New York Stock Exchange from — Check if you have access through your login credentials or your institution.

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