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The Persistence of Seasonality: Evidence from 1926 to 2009 Vincent Smits
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The Persistence of Seasonality: Evidence from 1926 to 2009
Vincent Smits
Investors and academics have long been intrigued by seasonality effects on stock returns. In this research it was tested whether any significant monthly returns persist over time. The results obtained in this research provide evidence for seasonality in stock returns during the 1926 ? 2009 period. Extended analysis of persistence across time showed that monthly stock returns are in fact not persistent over longer time periods, for all portfolios except for the smallest size portfolios. The extended analysis further revealed that evidence of persistence is highly correlated with the size effect.
| Mídia | Livros Paperback Book (Livro de capa flexível e brochura) |
| Lançado | 21 de abril de 2011 |
| ISBN13 | 9783844330830 |
| Editoras | LAP LAMBERT Academic Publishing |
| Páginas | 68 |
| Dimensões | 150 × 4 × 225 mm · 119 g |
| Idioma | Alemão |
