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From t-bills to common stocks: investigating the generality of intra- week return seasonality

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Author Info

  • Mark J. Flannery
  • Aris A. Protopapadakis

Abstract

The authors investigate the extent to which intraweek seasonality still exists, and whether its pattern is uniform across thr ee stock indices and Treasury bonds with seven different maturities. They find that intraweek seasonality continues to be significant, and that its pattern is not uniform, either between the stock indices an d the Treasury bonds or even only among the bonds. A pattern shared b y stocks and bonds is that Monday returns become increasingly negativ e with maturity. These findings suggest that neither institutional no r general equilibrium explanations by themselves can explain the patt ern of intraweek seasonality. Copyright 1988 by American Finance Association.

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Bibliographic Info

Paper provided by Federal Reserve Bank of Philadelphia in its series Working Papers with number 87-19.

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Date of creation: 1987
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Handle: RePEc:fip:fedpwp:87-19

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Related research

Keywords: Interest rates ; Seasonal variations (Economics) ; Stock - Prices ; Government securities;

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Cited by:
  1. Mark J. Flannery & Aris A. Protopapadakis, 2002. "Macroeconomic Factors Do Influence Aggregate Stock Returns," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 15(3), pages 751-782.
  2. G. Kohers & N. Kohers & V. Pandey & T. Kohers, 2004. "The disappearing day-of-the-week effect in the world's largest equity markets," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 11(3), pages 167-171.
  3. Syed A. Basher & Perry Sadorsky, 2004. "Day-of-the-week effects in emerging stock markets," Finance, EconWPA 0407017, EconWPA.
  4. Ramon P. DeGennaro & James T. Moser, 1990. "Failed delivery and daily Treasury bill returns," Working Paper, Federal Reserve Bank of Cleveland 9003, Federal Reserve Bank of Cleveland.
  5. Bruce Mizrach & Christopher J. Neely, 2007. "The microstructure of the U.S. treasury market," Working Papers, Federal Reserve Bank of St. Louis 2007-052, Federal Reserve Bank of St. Louis.
  6. Sullivan, Ryan & Timmermann, Allan & White, Halbert, 1998. "Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego qt2z02z6d9, Department of Economics, UC San Diego.

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