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A note on stock market seasonality : the impact of stock price volatility on the application of dummy variable regression model
Chien, Chin-chen; Lee, Cheng F.; Wang, Andrew M. L. - 2024
Persistent link: https://www.econbiz.de/10015046798
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Incorporating economic policy uncertainty in US equity premium models : a nonlinear predictability analysis
Bekiros, Stelios; Gupta, Rangan; Majumdar, Anandamayee - In: Finance research letters 18 (2016), pp. 291-296
Persistent link: https://www.econbiz.de/10011657223
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Do seasonal anomalies still work?
Dzhabarov, Constantine; Ziemba, William T. - In: The journal of portfolio management : a publication of … 36 (2009/10) 3, pp. 93-104
Persistent link: https://www.econbiz.de/10003980048
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Ukrainian financial markets : an examination of calendar anomalies
Depenchuk, Iryna O.; Compton, William S.; Kunkel, Robert A. - In: Managerial finance 36 (2010) 6, pp. 502-510
Persistent link: https://www.econbiz.de/10003990881
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Portfolio returns, markets volatility, and seasonality
Chen, Chao; Zhou, Zhong-guo - In: Review of quantitative finance and accounting 17 (2001) 1, pp. 27-43
Persistent link: https://www.econbiz.de/10001748130
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Forecasting S&P 500 volatility : long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements
Martens, Martin; Dijk, Dick van; Pooter, Michiel de - In: International journal of forecasting 25 (2009) 2, pp. 282-303
Persistent link: https://www.econbiz.de/10003870055
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Informationseffizienz auf Kapitalmärkten : Konzepte und empirische Ergebnisse
Sapusek, Annemarie - 1998
Persistent link: https://www.econbiz.de/10000985364
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The ambiguous December
Shust, Efrat - In: Finance research letters 61 (2024), pp. 1-6
Persistent link: https://www.econbiz.de/10014490698
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Der Schweizer Aktienmarkt : eine empirische Untersuchung im Lichte der neueren Effizienzmarkt-Diskussion
Theurillat, Michael - 1996
Persistent link: https://www.econbiz.de/10000933885
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Revisiting the CAPM model with quantile regression : creating investment strategies on the Zagreb Stock Exchange
Škrinjarić, Tihana; Slišković, Marina - In: International journal of economics and business … 19 (2020) 3, pp. 266-289
Persistent link: https://www.econbiz.de/10012205614