Abstract

http://ssrn.com/abstract=11174
 
 

Citations



 


 



Higher Moments of Returns, Information Seasonality, and Day of the Week Effects


Raj Aggarwal


University of Akron - Department of Finance

John D. Schratzberg


University of New Mexico


J. OF ECONOMICS AND BUSINESS, Vol. 49 No. 1

Abstract:     
This study documents that day of the week variations in equity returns, standard deviations, skewness, and kurtosis are significant and inversely related to firm size. Day of the week variations in earnings and dividend announcements are only a limited explanation for these equity return deviations from normality. However, consistent with investor aversion for even moments, day of the week variations in kurtosis of returns do seem to be at least a partial explanation for day of the week variations in equity returns. Thus, studies of asset returns should account for higher moments such as kurtosis to avoid mis-specifing risk.

JEL Classification: G10

Accepted Paper Series


Not Available For Download

Date posted: September 29, 1997  

Suggested Citation

Aggarwal, Raj and Schratzberg, John D., Higher Moments of Returns, Information Seasonality, and Day of the Week Effects. J. OF ECONOMICS AND BUSINESS, Vol. 49 No. 1. Available at SSRN: http://ssrn.com/abstract=11174

Contact Information

Raj Aggarwal (Contact Author)
University of Akron - Department of Finance ( email )
Akron, OH 44325-4803
United States
330-972-2780 (Phone)
HOME PAGE: http://www.uakron.edu/colleges/cba/facultylist/a/aggarwal.php
John D. Schratzberg
University of New Mexico
107 Humanitites Building
Albuquerque, NM 87131-1221
United States
Not available (Phone)
Not available (Fax)
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