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seasonality in returns to style portfolios, which serve as important benchmarks for asset allocation, and investigate its … than the buy-and-hold strategy.In chapter 3, we establish the presence of seasonality in the cash flows to the U … make their investment decisions. We offer the possible sources for the seasonality in mutual funds flows. …
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We develop a new autoregressive conditional process to capture both the changes and the persistency of the intraday seasonal (U-shape) pattern of volatility in essay 1. Unlike other procedures, this approach allows for the intraday volatility pattern to change over time without the filtering...
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In this paper, we follow Jegadeesh and Titman's (1993, Journal of Finance) approach to examine 25 momentum/contrarian trading strategies using monthly stock returns in China for the period from 1994 to 2007. Our results suggest that there is no momentum profitability in any of the 25 strategies....
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trading. As expected, the volatility features a significant intraday seasonality, which motivates us to include the intraday …
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