ON STOCK RETURN SEASONALITY AND CONDITIONAL HETEROSKEDASTICITY
We model the seasonal volatility of stock returns using GARCH specifications and size-sorted portfolios. Estimation results indicate that there are volatility differences between months and that these seasonal volatility patterns are conditional on firm size. Additionally, we find that seasonal volatility does not explain seasonal returns when the reward for risk is held constant over the sample period. Specifically, our results indicate that much of the abnormal return in January for small firms cannot be entirely attributed to either higher systematic risk or a higher risk premium in January.
Year of publication: |
1998
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Authors: | Beller, Kenneth ; Nofsinger, John R. |
Published in: |
Journal of Financial Research. - Southern Finance Association - SFA, ISSN 0270-2592. - Vol. 21.1998, 2, p. 229-246
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Publisher: |
Southern Finance Association - SFA Southwestern Finance Association - SWFA |
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