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A Monthly Effect in Stock Returns

2018-03-03 History
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Release : 2018-03-03
Genre : History
Kind : eBook
Book Rating : 314/5 ( reviews)

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Book Synopsis A Monthly Effect in Stock Returns by : Robert A. Ariel

Download or read book A Monthly Effect in Stock Returns written by Robert A. Ariel. This book was released on 2018-03-03. Available in PDF, EPUB and Kindle. Book excerpt: This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work was reproduced from the original artifact, and remains as true to the original work as possible. Therefore, you will see the original copyright references, library stamps (as most of these works have been housed in our most important libraries around the world), and other notations in the work. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. As a reproduction of a historical artifact, this work may contain missing or blurred pages, poor pictures, errant marks, etc. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.

Handbook of Financial Markets: Dynamics and Evolution

2009-06-12 Business & Economics
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Release : 2009-06-12
Genre : Business & Economics
Kind : eBook
Book Rating : 434/5 ( reviews)

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Book Synopsis Handbook of Financial Markets: Dynamics and Evolution by : Thorsten Hens

Download or read book Handbook of Financial Markets: Dynamics and Evolution written by Thorsten Hens. This book was released on 2009-06-12. Available in PDF, EPUB and Kindle. Book excerpt: The models of portfolio selection and asset price dynamics in this volume seek to explain the market dynamics of asset prices. Presenting a range of analytical, empirical, and numerical techniques as well as several different modeling approaches, the authors depict the state of debate on the market selection hypothesis. By explicitly assuming the heterogeneity of investors, they present models that are descriptive and normative as well, making the volume useful for both finance theorists and financial practitioners. - Explains the market dynamics of asset prices, offering insights about asset management approaches - Assumes a heterogeneity of investors that yields descriptive and normative models of portfolio selections and asset pricing dynamics

Day of the Week Intraday Effects in Stock Returns

1985 Stocks
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Release : 1985
Genre : Stocks
Kind : eBook
Book Rating : /5 ( reviews)

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Book Synopsis Day of the Week Intraday Effects in Stock Returns by : Michael Smirlock

Download or read book Day of the Week Intraday Effects in Stock Returns written by Michael Smirlock. This book was released on 1985. Available in PDF, EPUB and Kindle. Book excerpt:

Day of the Week Effects in NSE Stock Returns

2008
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Release : 2008
Genre :
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Book Synopsis Day of the Week Effects in NSE Stock Returns by : Varun Arora

Download or read book Day of the Week Effects in NSE Stock Returns written by Varun Arora. This book was released on 2008. Available in PDF, EPUB and Kindle. Book excerpt: The presence of the seasonal or monthly effect in stock returns has been reported in several developed and emerging stock markets. This study investigates the existence of seasonality in India's stock market, primarily trying to detect the quot;Day of the Week Effectquot; in the Stocks listed on the National Stock Exchange. It covers the post-reform period. The study uses the Daily return data of the stocks listed on National Stock Exchange and Bombay Stock Exchange Index for the period from November 1994 to September 2007 for analysis. After examining the stationarity of the return series, by applying quot;Kruskal Wallisquot; test and quot;One Way Anovaquot; i.e. using both Parametric and Non Parametric Tests, we specify an Augmented Dummy Regressive model to find the Day of the week effect monthly effect in stock returns in India. Another feature of our study was that we analysed the day of the week effect in three different phases of market ie. quot;Consolidationquot; Phase, quot;Bearishquot; Phase and the quot;Bullishquot; Phase. This was carried with an intention to see whether the day of the week effect was visible in these specific market phases or not. The results confirm the existence of seasonality (in the form of Day of the Week Effect) stock returns in India for 66 Stocks spanning across various sectors that we analysed - The results of the study imply that the stock market in India is inefficient, and hence, investors can time their share investments to improve returns and make abnormal profits. However the Day of the Week effect was found to be absent in the Bullish as well as the Bearish phase, which was a departure from our previous belief of the existence of this effect in all phases of the market.

The effect of weather on stock returns: A comparison between emerging and developed markets

2013-06-01 Political Science
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Release : 2013-06-01
Genre : Political Science
Kind : eBook
Book Rating : 560/5 ( reviews)

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Book Synopsis The effect of weather on stock returns: A comparison between emerging and developed markets by : Irina Prodan

Download or read book The effect of weather on stock returns: A comparison between emerging and developed markets written by Irina Prodan. This book was released on 2013-06-01. Available in PDF, EPUB and Kindle. Book excerpt: One renowned and frequently researched anomaly over the last two decades is the weather effect, more precisely, the impact of weather on stock market returns. The extensive literature on the weather effect fails to converge towards a unique, systematic and robust relationship between the weather, and the stock market. Therefore, the aim of this paper is to explain the contradictory results in the literature by testing whether stock prices are affected by the weather in a significantly different manner depending on the level of market development, and explaining how this difference behaves over time. In order to test for this, city-by-city, pooled and binary regressions are employed using data of 10 developed, and 10 emerging countries over the period 1996-2011 by using two different means of seasonal adjustment.

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