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The Persistence of Seasonality


Marketed By :  LAP LAMBERT Academic Publishing   Sold By :  Kamal Books International  
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  • Product Description

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.

Product Specifications
SKU :COC69568
AuthorVincent Smits
Number of Pages68
Publishing Year2011-04-21T00:00:00.000
Edition1 st
Book TypeEconomics
Country of ManufactureIndia
Product BrandLAP LAMBERT Academic Publishing
Product Packaging InfoBox
In The Box1 Piece
Product First Available On ClickOnCare.com2015-07-08 00:00:00
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