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Are Monthly Seasonals Real? A Three Century PerspectiveCherry Yi ZhangMassey University - School of Economics and Finance Ben JacobsenNew Zealand Institute of Advanced Study; Massey University - Department of Economics and Finance, Albany September 6, 2012 The Review of Finance, Forthcoming Abstract: Over 300 years of UK stock returns reveal that well-known monthly seasonals are sample specific. For instance, the January effect only emerges around 1830. Most months have had their 50 years of fame, showing the importance of long time series to safeguard against sample selection bias, noise, and data snooping. The overall conclusion is that monthly seasonals might simply be in the eye of the beholder.
Number of Pages in PDF File: 74 Keywords: Historical Data, Stock Return Seasonality, January Effect, Seasonal Anomalies, Sell in May, Halloween Indicator, Tax Loss Selling JEL Classification: G10, G14 Accepted Paper SeriesDate posted: October 26, 2010 ; Last revised: September 6, 2012Suggested CitationContact Information
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