haku: @author Nofsinger, J. / yhteensä: 2
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| Tekijä: | Beller, K. Nofsinger, J. |
| Otsikko: | On stock return seasonality and conditional heteroskedasticity |
| Lehti: | Journal of Financial Research
1998 : SUMMER, VOL. 21:2, p. 229-246 |
| Asiasana: | HETEROSCEDASTICITY STOCK RETURNS FINANCE |
| Kieli: | eng |
| Tiivistelmä: | The authors model the seasonal volatility of stock returns using GARCH specification and size-sorted portfolios. Estimation results indicate that there are volatility differences between months and that these seasonal volatility patterns are conditional on firm size. Additionally, they find that seasonal volatility does not explain seasonal returns when the reward for risk is held constant over the sample period. Specifically, the results indicate that much of the abnormal return in January for small firms cannot be entirely attributed to either higher systematic risk or a higher risk premium in January. |
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