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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
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; Longitudinal Data; Spatial Time Series
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
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.
- 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.
- 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.
- 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..
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Alcira Macías Redondo).
If references are entirely missing, you can add them using this form.