The January effect across volatility regimes
Year of publication: |
2011
|
---|---|
Authors: | Agnani, Betty ; Aray, Henry |
Published in: |
Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 11.2011, 6, p. 947-953
|
Publisher: |
Taylor & Francis Journals |
Subject: | Markov switching model | Stock returns | Seasonality | Size portfolios |
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