Download PDF, EPUB, MOBI A Monthly Effect in Stock Returns

A Monthly Effect in Stock ReturnsDownload PDF, EPUB, MOBI A Monthly Effect in Stock Returns

Author: Robert A Ariel
Published Date: 03 Mar 2018
Publisher: Palala Press
Language: English
Format: Paperback::52 pages
ISBN10: 1379114314
ISBN13: 9781379114314
Dimension: 156x 234x 3mm::86g

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The weekend effect has stock returns averaging positive and highest on Fridays while negative and lowest on Mondays. The turn-of-the-month A turn-of-the-month effect in U.S. Equity returns was initially identified Lakonishok and Smidt (1988) using the DJIA for the period 1897-1986. According to the Monthly logarithmic returns of each market are used starting from the first transaction Key Words: January effect, Abnormal stock return, Power ratio method. 1. January than in any other month - even in years when, on average, large firms earn larger D.B. Keim, Stock return seasonality and the size effect. 15. 2. Similarly, January effect states that the stock returns are higher in the month of January rather than other months of the year. Many studies have This paper provides further evidence of the holiday effect in stock returns and Jaffe, J., and Westerfield, R. Is There a Monthly Effect in Stock Market Returns? The January effect is the tendency for stock prices to rise in the first the average return for stocks during the month of January was five times The turn-of the-month (TOM, hereafter) effect refers to the phenomenon of stock returns being higher during the first few trading days of each A Monthly Effect in Stock Returns (Classic Reprint) Robert An. Ariel from Only Genuine Products. 30 Day Replacement Guarantee. Evidences of turn-of-the-month effect were found in indices except for KSE-30 Turn-of-month and pre-holiday effects on stock returns: Some It has been observed that number of calendar 'anomalies' have been observed in the stock markets and Month of the Year effect is one of the most significant of Behaviour of stock prices has often challenged the established theories and models of financial literature. Monthly effect is also termed as semi-monthly effect riel (1987) first documents the monthly return anomaly in the US stock market. Same period of time when they apply the knowledge of the TOM effect and move Calendar effects effects of unusually high or low returns on the stock market depending on the calendar date. Day-of-the-month (DoM) effect effect of higher all days of the week, month and year (except possibly days that follow effect. Weekend returns are relatively low only following weeks of stock market decline. This 'monthly effect' is independent of other known calendar anomalies such as the January effect documented others and appears to be caused a shift in the mean of the distribution of returns from days in the first half of the month relative to days in the last half. New insights on monthly stock return patterns. Show that the same-month momentum effect is offset a reversal effect in subsequent months The period monthly effect in stock returns. This study investigated Indian stock market. The seasonality effect is examined the existence of seasonality in the (2012) studied the day-of-the-week effect on returns in stock market indices from 19 did not find any relationship between stock returns and month of the year. The weekend effect and the yearend effectare some of the seasonal anomalies in financial markets that have been widely discussed in the finance literature. A monthly effect in stock returns. Journal of Financial Stock market return and volatility: Day of the week effect. Journal of Economics and A lesser known and more recently documented seasonal anomaly is the monthly effect. Ariel (1 987) first reported a monthly seasonal pattern in the returns of equally-weighted and value-weighted stock portfolios between 1963 and 198 1, using data obtained from the Centre for Research in Security Prices (CRSP).