Stock Return Seasonalities And the Tax Loss Selling Hypothesis Analysis of the
Stock Return Seasonalities And the Tax Loss Selling Hypothesis Analysis of the
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, 10;'' t'-'l^;;;, T-''^^^"*^^"»3 ^-fi J09t92 ^cnnsD ?, w -^:V or-:; ::.. !; :■ ■. ^o^ ^U. «oiio?- . - The results are given in Table 4. As in Table 3, the removal of market . -9 effects by model (3) accentuates the July seasonal relative to January, and : 3^ this is more pronounced using Dimson's estimator in in?)del (4). However>-;ij:. ;83 even the use of the Dimson estimator and January and July dummies does notiriiiio;. Remove the "size effect" — the average abnormal monthly returns across ...other .. S months for portfolio 1 still exceed abnormal returns for portfolio 2 by over q 4%. ^•"— -^^ it^s:jA:^ SPE-'yr. ^ssp-iii S/U ^U s. W 6. Summary and Conclusions ^^ "^ ''^^-'•^' ^^"^ ^- ^-^^'^' ^o noicfsoilqmi ■?■'. ;' ri. 7i;0~f, -1-;>Q, V. ;r/ . , . Ir, .. , .
Evidence from U. S. Stock returns suggests that a large proportion ofasoxa the "size effect" consists of a premium for small firms in Januaryv^'i I'Ssa enj Australian returns show an average premium of at least 4% per month for the smallest-firm decile (portfolio 1) relative to any other decile, and this-: ;..
What to read after Stock Return Seasonalities And the Tax Loss Selling Hypothesis Analysis of the?
You can find similar books in the "Read Also" column, or choose other free books by Terry a Marsh to read onlineMoreLess
To quickly assess the difficulty of the text, read a short excerpt:
, 10;'' t'-'l^;;;, T-''^^^"*^^"»3 ^-fi J09t92 ^cnnsD ?, w -^:V or-:; ::.. !; :■ ■. ^o^ ^U. «oiio?- . - The results are given in Table 4. As in Table 3, the removal of market . -9 effects by model (3) accentuates the July seasonal relative to January, and : 3^ this is more pronounced using Dimson's estimator in in?)del (4). However>-;ij:. ;83 even the use of the Dimson estimator and January and July dummies does notiriiiio;. Remove the "size effect" — the average abnormal monthly returns across ...other .. S months for portfolio 1 still exceed abnormal returns for portfolio 2 by over q 4%. ^•"— -^^ it^s:jA:^ SPE-'yr. ^ssp-iii S/U ^U s. W 6. Summary and Conclusions ^^ "^ ''^^-'•^' ^^"^ ^- ^-^^'^' ^o noicfsoilqmi ■?■'. ;' ri. 7i;0~f, -1-;>Q, V. ;r/ . , . Ir, .. , .
Evidence from U. S. Stock returns suggests that a large proportion ofasoxa the "size effect" consists of a premium for small firms in Januaryv^'i I'Ssa enj Australian returns show an average premium of at least 4% per month for the smallest-firm decile (portfolio 1) relative to any other decile, and this-: ;..
What to read after Stock Return Seasonalities And the Tax Loss Selling Hypothesis Analysis of the?
You can find similar books in the "Read Also" column, or choose other free books by Terry a Marsh to read onlineMoreLess
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