Relevant bibliographies by topics / Seasonalities

Contents

  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers
  6. Reports

Academic literature on the topic 'Seasonalities'

Author: Grafiati
Published: 4 June 2021
Last updated: 1 February 2022

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Journal articles on the topic "Seasonalities"

1

KELOHARJU, MATTI, JUHANI T. LINNAINMAA, and PETER NYBERG. "Return Seasonalities." Journal of Finance 71, no. 4 (July 13, 2016): 1557–90. http://dx.doi.org/10.1111/jofi.12398.

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Chari, V. V., Ravi Jagannathan, and Aharon R. Ofer. "Seasonalities in security returns." Journal of Financial Economics 21, no. 1 (May 1988): 101–21. http://dx.doi.org/10.1016/0304-405x(88)90033-5.

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Peterson, David R. "Stock Return Seasonalities and Earnings Information." Journal of Financial and Quantitative Analysis 25, no. 2 (June 1990): 187. http://dx.doi.org/10.2307/2330823.

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GARCIA BLANDON, JOSE. "RETURN'S SEASONALITIES IN THE LATIBEX MARKET." Revista de análisis económico 25, no. 1 (June 2010): 3–14. http://dx.doi.org/10.4067/s0718-88702010000100001.

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Alford, Alan, and Daryl M. Guffey. "A re-examination of international seasonalities." Review of Financial Economics 5, no. 1 (December 1996): 1–17. http://dx.doi.org/10.1016/s1058-3300(96)90002-6.

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Ballocchi, Giuseppe, Michael Dacorogna, Ramazan Gençay, and Barbara Piccinato. "Time-to-Expiry Seasonalities in Eurofutures." Studies in Nonlinear Dynamics and Econometrics 4, no. 4 (December 1, 2000): 227–32. http://dx.doi.org/10.1162/108118200753392136.

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Harju, Kari, and Syed Mujahid Hussain. "Intraday Seasonalities and Macroeconomic News Announcements." European Financial Management 17, no. 2 (August 20, 2009): 367–90. http://dx.doi.org/10.1111/j.1468-036x.2009.00512.x.

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Hofmann, Daniel, and Karl Ludwig Keiber. "Seasonalities in the German stock market." Financial Markets and Portfolio Management 35, no. 2 (January 24, 2021): 151–92. http://dx.doi.org/10.1007/s11408-020-00373-1.

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AbstractThis paper suggests innovative investment strategies drawing on return seasonalities. By means of an out-of-sample study of the German stock market, we report that these long–short investment strategies earn on average raw returns up to 233 basis points per month throughout two decades from 1998 to 2017. On a monthly basis, this documents an outperformance of the corresponding Heston and Sadka (J Financ Econ 87(2):418–445, 2008) strategy by 66%. This outperformance is robust in magnitude even after adjusting for common risk factors along both the three-factor Fama and French (J Financ
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Gençay, Ramazan, Faruk Selçuk, and Brandon Whitcher. "Differentiating intraday seasonalities through wavelet multi-scaling." Physica A: Statistical Mechanics and its Applications 289, no. 3-4 (January 2001): 543–56. http://dx.doi.org/10.1016/s0378-4371(00)00463-5.

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Ho, Yan-Ki. "Stock Return Seasonalities in Asia Pacific Markets." Journal of International Financial Management & Accounting 2, no. 1 (March 1990): 47–77. http://dx.doi.org/10.1111/j.1467-646x.1990.tb00017.x.

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Dissertations / Theses on the topic "Seasonalities"

1

Li, Ya. "An empirical analysis of factor seasonalities." HKBU Institutional Repository, 2017. https://repository.hkbu.edu.hk/etd_oa/421.

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I establish the existence of seasonality in 42 popular risk factors in the asset pricing literature. I document extensive empirical evidence for the Keloharju et al. (2016) hypothesis that seasonalities in individual asset returns stem from their exposures to risk factors. It is the seasonal patterns in risk factors that lead to the seasonalities in individual asset portfolios. The empirical findings show that seasonalities are widely present among individual asset portfolios. However, both the all-factor model and the Fama-French (2014) five-factor model demonstrate that these patterns greatl
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2

Hetting, Oscar, Joakim Hellman, and Maryam Tarighi. "Capitalizing on seasonalities in the Singapore Straits Times Index." Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Företagsekonomi, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-18167.

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Purpose: The purpose of this thesis is to study the possible existence of day-of-the-week effects and month-of-the-year effects in the Singapore stock market over the period January 1st 1993 to December 31st 2011. The findings are analysed with the intention of developing investment strategies and to investigate if behavioural finance can help to explain the existence of seasonal anomalies.  Background: A number of previous studies have found evidence of seasonal anomalies in global stock markets, and by challenging the core assumptions of market efficiency, such anomalies may make it possible
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Thomas, Stuart John, and stuart thomas@rmit edu au. "Modelling Commodity Prices in The Australian National Electricity Market." RMIT University. Economics, Finance and Marketing, 2007. http://adt.lib.rmit.edu.au/adt/public/adt-VIT20080528.160806.

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Beginning in the early 1990s several countries, including Australia, have pursued programs of deregulation and restructuring of their electricity supply industries. Dissatisfaction with state-run monopoly suppliers and a desire for increased competition and choice for consumers have been the major motivations for reform. In Australia, the historical, vertically-integrated, government-owned electricity authorities were separated into separate generation, transmission, distribution and retail sectors in each State and a competitive, wholesale market for electricity, the National Electricity Mark
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4

Corhay, A. H. "Return seasonalities and systematic risk estimation on the Brussels stock exchange option pricing models." Thesis, University of Cambridge, 1990. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.598000.

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This doctoral dissertation consists of five essays related to two fields in financial economics which have been receiving a considerable interest from the academic community: stock market anomalies and option pricing. The first three essays deal with return seasonalities and systematic risk estimation. All three are empirical studies, and the data they use come from the equity markets of the Brussels Stock Exchange. The first essay is devoted to the study of the daily seasonalities in the rates of return. This reveals both a persistent lower return on Tuesday explained neither by various adjus
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Corhay, Albert H. "Essays in financial economics : return seasonalities and systematic risk estimation on the Brussels stock exchange; option pricing models." Thesis, University of Cambridge, 1989. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.335716.

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Paradzik, Ivona, and Jasmin Lappalainen. "Utvecklingen av destination Gotland : en kvalitativ studie om destinationsutveckling av Gotlands lågsäsongsturism." Thesis, Södertörns högskola, Turismvetenskap, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-38723.

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The purpose of this study has been to research how the low season affects tourism and how destination development is taken care of on the island of Gotland in Sweden. Gotland is a very popular travel destination during the busy summer months June, July and August, but the authors of this study felt that it would be interesting to investigate what happens with the tourism business during the rest of the year on the island. With the help of qualitative methods such as interviews with the local people, stakeholders, and observations made in the capital of Gotland Visby, the authors have gathered
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Yang, Jia-Qi, and 楊嘉祺. "An Analysis of Stock Return Seasonalities in Mainland China." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/7sj4x3.

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碩士<br>國立臺灣大學<br>財務金融學研究所<br>106<br>Seasonality is an important issue in market efficiency research. Recently, researchers have studied seasonalities based on the US stock market, presenting theories to explain the source and the formation mechanism of seasonalities. This dissertation examines the stock return seasonalities in Mainland China by mimicking risk premium factor seasonalities with seasonal long-short strategies. The empirical results show that return seasonalities exists in Mainland China; seasonal long-short strategies based on same-month and other-month historical returns earn pos
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Books on the topic "Seasonalities"

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Mitchell, Jason D. Seasonalities in China's stock markets: Cultural or structural? [Washington, D.C.]: International Monetary Fund, Monetary and Financial Systems Dept., 2006.

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2

Dahlquist, Magnus. Seasonalities in Swedish stock returns: Why are they not arbitraged away? Stockholm: Stockholm University, Institute for International Economic Studies, 1995.

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3

Fountas, Stilianos. Emerging stock markets return seasonalities: The January effect and the tax-loss selling hypothesis. [Galway]: Department of Economics, National University of Ireland, Galway, 1999.

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Fountas, Stilianos. Eme rging stock markets return seasonalities: the January selling effect and the tax-loss selling hypothesis. Galway: Department of Economics, University College Galway, 1999.

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Book chapters on the topic "Seasonalities"

1

Theuer, Hanna. "Dealing with Seasonalities - An Observation of Different Branches in a Seasonal Environment." In Enabling Manufacturing Competitiveness and Economic Sustainability, 407–12. Cham: Springer International Publishing, 2014. http://dx.doi.org/10.1007/978-3-319-02054-9_69.

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"Seasonally Anomalous or Not? Tests of Seasonalities." In The Efficiency of China's Stock Market, 145–80. Routledge, 2017. http://dx.doi.org/10.4324/9781351146920-15.

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3

Pınarbaşı, Fatih, and Habib Mehmet Akpınar. "E-Trading Decision Making." In Tools and Techniques for Implementing International E-Trading Tactics for Competitive Advantage, 184–202. IGI Global, 2020. http://dx.doi.org/10.4018/978-1-7998-0035-4.ch009.

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Electronic trade has a key role for today's companies with help of technology affecting marketing environment. The emergence of the Internet has led to huge changes in both the production and strategy channels and the consumer's purchasing process. Previous studies from different contexts examine electronic trade focusing on different aspects on concept. An integrative approach combining theory with cases can help to a better understanding of electronic trade and competitive markets. This study aims to examine electronic trading decision making with digital marketing approach. The study identifies a three-step marketing plan for competitive advantage about electronic trading. First step includes identifying standards, seasonalities, and anomalies related to market. Second step continues with further evaluation of market environment by including sentiment analysis and network analysis cases. Third step goes further with predicting cases by focusing on future. The study also contains solutions and recommendations, future research directions, and conclusion sections.
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Conference papers on the topic "Seasonalities"

1

Elias, R. S., Liping Fang, and M. I. M. Wahab. "Electricity load forecasting based on weather variables and seasonalities: A neural network approach." In 2011 8th International Conference on Service Systems and Service Management (ICSSSM 2011). IEEE, 2011. http://dx.doi.org/10.1109/icsssm.2011.5959472.

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Reports on the topic "Seasonalities"

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Keloharju, Matti, Juhani Linnainmaa, and Peter Nyberg. Common Factors in Return Seasonalities. Cambridge, MA: National Bureau of Economic Research, December 2014. http://dx.doi.org/10.3386/w20815.

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Hirshleifer, David, Danling Jiang, and Yuting Meng. Mood Betas and Seasonalities in Stock Returns. Cambridge, MA: National Bureau of Economic Research, June 2018. http://dx.doi.org/10.3386/w24676.

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You might also be interested in the extended bibliographies on the topic 'Seasonalities' for particular source types:
Journal articles
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