Seasonality in the cross section of stock returns: Advanced markets versus emerging markets
被引:15
作者:
Li, Fengyun
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机构:
Renmin Univ China, Sch Finance, Beijing, Peoples R China
Renmin Univ China, China Financial Policy Res Ctr, Beijing, Peoples R ChinaRenmin Univ China, Sch Finance, Beijing, Peoples R China
Li, Fengyun
[1
,2
]
Zhang, Huacheng
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机构:
Southwestern Univ Finance & Econ, Chengdu, Sichuan, Peoples R ChinaRenmin Univ China, Sch Finance, Beijing, Peoples R China
Zhang, Huacheng
[3
]
Zheng, Dazhi
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机构:
West Chester Univ, W Chester, PA USARenmin Univ China, Sch Finance, Beijing, Peoples R China
Zheng, Dazhi
[4
]
机构:
[1] Renmin Univ China, Sch Finance, Beijing, Peoples R China
[2] Renmin Univ China, China Financial Policy Res Ctr, Beijing, Peoples R China
[3] Southwestern Univ Finance & Econ, Chengdu, Sichuan, Peoples R China
We extend the studies of stock return seasonality by Heston and Sadka (2008, 2010) to a comprehensive sample of 42 international markets, including 21 advanced markets and 21 emerging markets. The empirical results show a large variation in stock seasonality across markets and suggest that this phenomenon exists primarily in advanced markets. A winner-loser portfolio approach shows that return seasonality is economically significant in advanced markets but not in emerging markets. We conduct statistical, rational and behavioral analyses to explore the potential reasons for the seasonality observed in advanced markets and find that regression bias, the January effect, and the Fama-French-Carhart type risk premium all can partially explain this seasonality difference.
机构:
Fordham Univ, Gabelli Sch Business, 45 Columbus Ave,Room 510, New York, NY 10023 USAFordham Univ, Gabelli Sch Business, 45 Columbus Ave,Room 510, New York, NY 10023 USA
Cakici, Nusret
Zaremba, Adam
论文数: 0引用数: 0
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机构:
Montpellier Business Sch, 2300 Ave Moulins, F-34185 Montpellier, France
Univ Montpellier, Montpellier Res Management, Montpellier, France
Poznan Univ Econ & Business, Inst Finance, Dept Investment & Financial Markets, Al Niepodleglosci 10, PL-61875 Poznan, PolandFordham Univ, Gabelli Sch Business, 45 Columbus Ave,Room 510, New York, NY 10023 USA
机构:
Fordham Univ, Gabelli Sch Business, 45 Columbus Ave,Room 510, New York, NY 10023 USAFordham Univ, Gabelli Sch Business, 45 Columbus Ave,Room 510, New York, NY 10023 USA
Cakici, Nusret
Zaremba, Adam
论文数: 0引用数: 0
h-index: 0
机构:
Montpellier Business Sch, 2300 Ave Moulins, F-34185 Montpellier, France
Poznan Univ Econ & Business, Inst Finance, Dept Investment & Financial Markets, Al Niepodleglosci 10, PL-61875 Poznan, PolandFordham Univ, Gabelli Sch Business, 45 Columbus Ave,Room 510, New York, NY 10023 USA
机构:
Fordham Univ, Gabelli Sch Business, 45 Columbus Ave,Room 510, New York, NY 10023 USAFordham Univ, Gabelli Sch Business, 45 Columbus Ave,Room 510, New York, NY 10023 USA
Cakici, Nusret
Zaremba, Adam
论文数: 0引用数: 0
h-index: 0
机构:
Montpellier Business Sch, 2300 Ave Moulins, F-34185 Montpellier, France
Univ Montpellier, Montpellier Res Management, Montpellier, France
Poznan Univ Econ & Business, Inst Finance, Dept Investment & Financial Markets, Al Niepodleglosci 10, PL-61875 Poznan, PolandFordham Univ, Gabelli Sch Business, 45 Columbus Ave,Room 510, New York, NY 10023 USA
机构:
Fordham Univ, Gabelli Sch Business, 45 Columbus Ave,Room 510, New York, NY 10023 USAFordham Univ, Gabelli Sch Business, 45 Columbus Ave,Room 510, New York, NY 10023 USA
Cakici, Nusret
Zaremba, Adam
论文数: 0引用数: 0
h-index: 0
机构:
Montpellier Business Sch, 2300 Ave Moulins, F-34185 Montpellier, France
Poznan Univ Econ & Business, Inst Finance, Dept Investment & Financial Markets, Al Niepodleglosci 10, PL-61875 Poznan, PolandFordham Univ, Gabelli Sch Business, 45 Columbus Ave,Room 510, New York, NY 10023 USA