A factor model of seasonality in stock returns
AbstractPublished as an article in: The Quarterly Review of Economics and Finance, 2004, vol. 44, issue 2, pages 224-236.
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Bibliographic InfoPaper provided by University of the Basque Country - Department of Foundations of Economic Analysis II in its series DFAEII Working Papers with number 2002-19.
Date of creation: 2002
Date of revision:
Postal: Dpto. de Fundamentos del Análisis Económico II, = Facultad de CC. Económicas y Empresariales, Universidad del País Vasco, Avda. Lehendakari Aguirre 83, 48015 Bilbao, Spain
Other versions of this item:
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
This paper has been announced in the following NEP Reports:
- NEP-CFN-2003-07-21 (Corporate Finance)
- NEP-ETS-2003-07-21 (Econometric Time Series)
- NEP-FIN-2003-07-21 (Finance)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
- Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
- Chien, Chin-Chen & Lee, Cheng-few & Wang, Andrew M. L., 2002. "A note on stock market seasonality: The impact of stock price volatility on the application of dummy variable regression model," The Quarterly Review of Economics and Finance, Elsevier, vol. 42(1), pages 155-162.
- Jorge Brusa & Wayne Lee & Pu Liu, 2011. "Monday returns and asset pricing," Journal of Economics and Finance, Springer, vol. 35(3), pages 332-347, July.
- Henry Aray, 2008. "Effects of Macroeconomic Announcements on Stock Returns across Volatility Regimes," ThE Papers 08/17, Department of Economic Theory and Economic History of the University of Granada..
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