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The January and Size Effects on Stock Returns: More EvidenceVichet SumUniversity of Maryland, Eastern Shore; University of Maryland, College Park June 1, 2009 International Journal of Applied Accounting and Finance, Vol. 1, No. 1, pp. 47-52, 2010 Abstract: The purpose of the present study is to provide further empirical evidence of the January and size effects on stock returns. The data used in this study are monthly stock returns, shares outstanding, and prices of all the stocks listed on the NYSE, AMEX, and NASDAQ. The data of monthly stock returns, shares outstanding, and prices of all the stocks listed on the NYSE are from January 1,1959 to December 31, 2007. The data of the stocks listed on the AMEX are from January 1, 1962 to December 31, 2007. The NASDAQ’s data are from January 1, 1971 to December 31, 2007. The findings confirm the January and size effects on stock returns reported in the previous studies.
Number of Pages in PDF File: 7 Keywords: January and Size Effects, Stock Returns JEL Classification: G10, G11, G14 Accepted Paper SeriesDate posted: June 19, 2011 ; Last revised: June 21, 2011Suggested CitationContact Information
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