Tilburg, Noord Brabant 5037 AB
Tilburg University - TIAS School for Business and Society
New Zealand Institute of Advanced Study
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Stock returns, Sell in May, Return predictability, Halloween indicator
Return Predictability, Oil Prices, International Stock Markets, Market Efficiency, Stock Returns, Underreaction
return predictability, oil prices, international stock markets, market efficiency, stock returns, besliskunde
seasonal anomalies, sell in May, Halloween indicator, long time series data
Sectors, Industries, Stock Markets, Halloween effect, Sell in May, Sector Rotation
observation interval, return predictability tests, market efficiency, gradual information diffusion, market timing, quantitative investment techniques, commodity
bubbles, limits to arbitrage, market efficiency, structural breaks
market efficiency, structural breaks, bubbles, asset pricing model, limits to arbitrage
Historical Data, Stock Return Seasonality, January Effect, Seasonal Anomalies, Sell in May, Halloween Indicator, Tax Loss Selling
Halloween Effect, Sell in May, January effect, Book to Market, Value, Growth
Technical Analysis, Market Indicators, Sentiment Indicators, Asset Pricing
Stock market seasonality, Sell in May, Seasonal Affective Disorder, temperature, spurious correlations
stock market seasonality, sell in May, seasonal affective disorder, temperature, spurious correlations
Stock market seasonality, Sell in May, Seasonal affective disorder, Temperature effect, Spurious correlations
Technical Analysis, Return Predictability, Out-of-Sample Test
Carry Trade, Return Predictability, Safe-haven Currencies, Gradual Information Diffusion
Carry Trade; Return Predictability; Safe-haven Currencies; Gradual Information Diffusion; Time-varying Risk Premium; Vector Auto Regressions
Carry Trade; Gradual Information Diffusion; Return Predictability, Safe-haven Currencies, Time-varying Risk Premium, Vector Auto Regression
War, Peace, Volatility Puzzle, Stock Returns, International Crises
industrial metals, state-switching, return predictability, gradual information diffusion, business cycle
Research, Writing, Finance, Economics, Social Sciences
Optimism, Pessimism, Gender Difference, Consumer Confidence, Economic Indicators, Risk Aversion
Equity Premium, Volatility, Rare Disasters, International Political Crises, Consumption
efficient markets, industry returns, political cycles
Market efficiency, Industry returns, Presidential cycle, Political business cycle
Diversification, Stock Picking, Modern Portfolio Theory, Return Predictability
Daylight Saving Time, Mood, International Stock Market Returns
Asset allocation, behavioral finance, financial advice, household finance, individual investors, mutual funds, personal characteristics, peer effects, social
Stock market seasonality, Sell in May, Seasonal affective disorder
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Market Efficiency, Asset Pricing, Behavioral Finance, Stock Return Prediction, Model Averaging, Model Uncertainty, Parameter Instability
Return dispersion, implied volatility, business cycles, political risk, economic policy uncertainty, stock returns.
File name: ACFI.
Consumption risk, Equity premium, International political crises, Market risk premium, Rare disasters
Stock returns, GARCH, Volatility clustering, Temporal aggregation
Time series, Stock returns, Long term dependence, Rescaled range statistic, R/S analysis, Hurst exponent
Political stock market, Common value, Proportional representation, Market efficiency
bubbles, crashes, skewness
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