Beta stability and monthly seasonal effects: evidence from the Australian capital market
A number of studies exist across a range of equity markets showing that a significant proportion of stocks in those markets have betas that vary over time. A research challenge posed by this body of evidence is to identify the factors that explain this time variation in individual stock betas. There is also an extensive literature reporting the existence of strong monthly seasonal patterns in equity returns from many markets and across extraordinarily lengthy time periods. Accordingly, using monthly Australian equity returns data, this paper investigates whether seasonal regularities such as the January effect can provide an explanation of beta variation. A key finding of this paper is that taking account of the January monthly seasonal and other monthly seasonals has no effect on the beta stability characteristics of individual stocks. Hence, based on our analysis, seasonal effects does not provide an explanation of beta instability. A subsiduary finding is that stocks with significant monthly seasonal effects tend to have a smaller average market capitalization.
If 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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 4 (1997)
Issue (Month): 9 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAEL20 |
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAEL20|
When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:4:y:1997:i:9:p:563-566. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If references are entirely missing, you can add them using this form.