Is there a monthly effect in stock market returns?: Evidence from foreign countries

In a recent paper, Ariel documents a monthly pattern for U.S. stock market returns. Our paper examines this pattern of returns in four other countries. We find only weak evidence supporting this phenomenom in these foreign markets; just one country exhibits a significant seasonal consistent with Ari...

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Veröffentlicht in:	Journal of banking & finance 1989-05, Vol.13 (2), p.237-244
Hauptverfasser:	Jaffe, Jeffrey, Westerfield, Randolph
Format:	Artikel
Sprache:	eng
Schlagworte:	Effects Manycountries Monthly Pattern Regression analysis Securities markets Statistical analysis Stock exchanges Stock prices Studies
Online-Zugang:	Volltext
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