Three Essays on Stock Market SeasonalityHyung-Suk Choi136 pagesDirected by Dr. Cheol S. EunIn chapter 1, we examine seasonality in returns to style portfolios, which serve as important benchmarks for asset allocation, and investigate its implications for investment. In doing so, we consider...

Three distinct strands can be identified in the literature on seasonality. Economists have long been interested in removing high-frequency "noise" from individual economic time series, or "deseasonalizing the data" in common parlance. The second strand, on which an extensive technical literature...

The paper discusses a new, fully recursive approach to the adaptive modeling, forecasting and seasonal adjustment of nonstationary economic time-series. The procedure is based around a time variable parameter (TVP) version of the well known “component” or “structural” model. It employs a...

We consider a dynamic, stochastic equilibrium business cycle model which is augmented to reflect seasonal shifts in preferences, technology, and government purchases. Our estimated parameterization implies implausibly large seasonal variation in the state of technology: rising at an annual rate...

Optimal monetary policy for an economy with seasonal fluctuations and a cash-in-advance requirement on the purchase of consumption goods is studied. It is shown that the short delay in the availability of newly acquired funds for consumption purchases (the hallmark of cash-in-advance models)...

In a world where time series show clear seasonal fluctuations, rational agents will take account of those fluctuations in planning their own behavior. Using seasonally adjusted data to model behavior of such agents throws away information and introduces possibly severe bias. Nonetheless it may...