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Macroeconomic Risk and Seasonality in Momentum Profits
Ji, Susan - 2017
We contribute to the growing debate on the relation between macroeconomic risk and stock price momentum. Not only is momentum seasonal, so is its net factor exposure. We show that winners and losers only differ in macroeconomic factor loadings during January, the one month when losers...
Persistent link: https://www.econbiz.de/10012974948
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Trading activity in the corporate bond market : a sad tale of macro-announcements and behavioral seasonality?
Forest, James J.; Branch, Ben Shirley; Berry, Brian T. - In: Risks : open access journal 12 (2024) 5, pp. 1-25
This study investigates the determinants of trading activity in the U.S. corporate bond market, focusing on the effects of Seasonal Affective Disorder (SAD) and macroeconomic announcements. Employing the General-to-Specific (Gets) Autometrics methodology, we identify distinct behavioral...
Persistent link: https://www.econbiz.de/10014636541
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Misallocation and manufacturing TFP in China and India
Chang, Tai Hsieh; Peter, J- Klenow - Volkswirtschaftliche Fakultät, … - 2007
establishments to quantify the potential extent of misallocation in China and India versus the United States. We measure sizable gaps … in marginal products of labor and capital across plants within narrowly defined industries in China and India compared … observed in the United States, we calculate manufacturing TFP gains of 30%–50% in China and 40%–60% in India. …
Persistent link: https://www.econbiz.de/10009372619
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An empirical analysis of momentum profitability, seasonality, and reversibility at Nairobi Stock Exchange
Lishenga, Lisiolo - In: Journal of finance and investment analysis 1 (2012) 3, pp. 73-98
In this thesis, we employed data from the NSE to investigate the existence of the price momentum effect, the profitability of momentum trading strategies, and the possibility of seasonal and reversal patterns in the profitability. We formed relative strength strategies for all stocks listed over...
Persistent link: https://www.econbiz.de/10009671170
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An examination of the month-of-the-year effect at Damascus securities exchange
Mouselli, Sulaiman; Al Samman, Hazem - In: International journal of economics and financial issues … 6 (2016) 2, pp. 573-577
Persistent link: https://www.econbiz.de/10011697044
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Can adaptive market hypothesis explain the existence of seasonal anomalies? : evidence from Dhaka Stock Exchange, Bangladesh
Akhter, Tahmina; Othman Yong - In: Contemporary economics 15 (2021) 2, pp. 198-223
This paper examines the behavior of seasonal anomalies in Dhaka Stock Exchange (DSE) of Bangladesh and whether the time varying nature of the anomalies is in line with Adaptive Market Hypothesis (AMH). With this aim the research investigated whether the changes in market conditions, for example:...
Persistent link: https://www.econbiz.de/10012544342
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Holiday effect and stock returns : evidence from stock exchanges of gulf cooperation council
Pinto, Prakash; B., Shakila; Hawaldar, Iqbal Thonse; … - In: International Journal of Financial Studies : open … 10 (2022) 4, pp. 1-10
One of the prominent types of calendar anomalies includes holiday effects, where stocks show abnormally higher mean returns on the days prior to holidays in comparison to other trading days. The current study investigates the existence of holiday effects in the stock exchanges of the Gulf...
Persistent link: https://www.econbiz.de/10013462308
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An Analysis of the Day of the Week Effect and the January Effect on the Stock Exchange of Mauritius
Bundoo, S.K. - 2010
This study investigates the day of the week effect and the January effect on the Stock Exchange of Mauritius (SEM). Positive and statistically significant Wednesday and Friday effects are observed. Surprisingly we also find a positive and significant Monday effect but smaller in magnitude. The...
Persistent link: https://www.econbiz.de/10013149252
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The Extended January Effect on London Stock Exchange
Stefanescu, Razvan; Dumitriu, Ramona - 2023
Since their discovery, many calendar anomalies experienced different types of changes. This paper explores the possibility of enlargement of the time interval specific to the January Effect on London Stock Exchange. We investigate the abnormal returns presence on an extended time interval that...
Persistent link: https://www.econbiz.de/10014351025
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Can Adaptive Market Hypothesis Explain the Existence of Seasonal Anomalies? Evidence from Dhaka Stock Exchange, Bangladesh
Akhter, Tahmina; Yong, Othman - 2021
This paper examines the behavior of seasonal anomalies in Dhaka Stock Exchange (DSE) of Bangladesh and whether the time varying nature of the anomalies is in line with Adaptive Market Hypothesis (AMH). With this aim the research investigated whether the changes in market conditions, for example:...
Persistent link: https://www.econbiz.de/10013227108