Stochastic Properties of German Stock Returns
AbstractWe investigate various distributional properties of German stock returns, like serial correlation, the existence of higher moments and calendar effects, with a focus on the robustness of various empirical measures to a nonstandard distribution of the returns. We exhibit the well known Monday effect also for German stocks, and show that its significance, like that of the tests for serial correlation, depends on distributional assumptions which are often overlooked.
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Bibliographic InfoArticle provided by Springer in its journal Empirical Economics.
Volume (Year): 21 (1996)
Issue (Month): 2 ()
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- Brian Lucey, 2004. "Robust estimates of daily seasonality in the Irish equity market," Applied Financial Economics, Taylor and Francis Journals, vol. 14(7), pages 517-523.
- Koch, Rosemarie & Stadtmann, Georg, 2010. "Das Gesetz zur Angemessenheit der Vorstandsvergütung," Discussion Papers 288, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
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