The "Sell in May" effect : a review and new empirical evidence
Year of publication: |
2018
|
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Authors: | Degenhardt, Thomas ; Auer, Benjamin R. |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 43.2018, p. 169-205
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Subject: | "Sell in May" effect | Commodity futures | Dummy regression | GARCH regression | Individual stocks | Robust regression | Regressionsanalyse | Regression analysis | Börsenkurs | Share price | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | Schätzung | Estimation | Rohstoffderivat | Commodity derivative |
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