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

Listed author(s):
  • Mark J. Flannery
  • Aris Protopapadakis

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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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
Handle: RePEc:fip:fedpwp:87-19
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