Seasonality in government bond returns and factor premia
Author
Abstract
Suggested Citation
DOI: 10.1016/j.ribaf.2017.04.036
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Chan, Kam C. & Wu, H. K., 1993. "Bond market seasonality and business cycles," International Review of Economics & Finance, Elsevier, vol. 2(4), pages 377-386.
- William T Ziemba, 2012. "Calendar Anomalies and Arbitrage," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8467, August.
- Dirk Brounen & Yair Ben-Hamo, 2009. "Calendar Anomalies: The Case of International Property Shares," The Journal of Real Estate Finance and Economics, Springer, vol. 38(2), pages 115-136, February.
- Rozeff, Michael S. & Kinney, William Jr., 1976. "Capital market seasonality: The case of stock returns," Journal of Financial Economics, Elsevier, vol. 3(4), pages 379-402, October.
- Zaremba, Adam, 2016. "Investor sentiment, limits on arbitrage, and the performance of cross-country stock market anomalies," Journal of Behavioral and Experimental Finance, Elsevier, vol. 9(C), pages 136-163.
- Haggard, K. Stephen & Witte, H. Douglas, 2010. "The Halloween effect: Trick or treat?," International Review of Financial Analysis, Elsevier, vol. 19(5), pages 379-387, December.
- Frazzini, Andrea & Pedersen, Lasse Heje, 2014.
"Betting against beta,"
Journal of Financial Economics, Elsevier, vol. 111(1), pages 1-25.
- Andrea Frazzini & Lasse H. Pedersen, 2010. "Betting Against Beta," NBER Working Papers 16601, National Bureau of Economic Research, Inc.
- Andrea Frazzini & Lasse Heje Pedersen, 2012. "Betting Against Beta," Swiss Finance Institute Research Paper Series 12-17, Swiss Finance Institute.
- Jacobsen, Ben & Marquering, Wessel, 2008. "Is it the weather?," Journal of Banking & Finance, Elsevier, vol. 32(4), pages 526-540, April.
- Nikunj Patel & Martin Sewell, 2015. "Calendar anomalies: a survey of the literature," International Journal of Behavioural Accounting and Finance, Inderscience Enterprises Ltd, vol. 5(2), pages 99-121.
- Keef, Stephen P. & Khaled, Mohammed S., 2011. "A review of the seasonal affective disorder hypothesis," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 40(6), pages 959-967.
- Narasimhan Jegadeesh & Sheridan Titman, 2001. "Profitability of Momentum Strategies: An Evaluation of Alternative Explanations," Journal of Finance, American Finance Association, vol. 56(2), pages 699-720, April.
- Lucey, Brian M & Zhao, Shelly, 2008. "Halloween or January? Yet another puzzle," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 1055-1069, December.
- Kramer, Charles, 1994. "Macroeconomic Seasonality and the January Effect," Journal of Finance, American Finance Association, vol. 49(5), pages 1883-1891, December.
- Yao, Yaqiong, 2012. "Momentum, contrarian, and the January seasonality," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2757-2769.
- Clare, A. D. & Thomas, S. H., 1992. "International evidence for the predictability of bond and stock returns," Economics Letters, Elsevier, vol. 40(1), pages 105-112, September.
- Newey, Whitney & West, Kenneth, 2014.
"A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix,"
Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
- Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-708, May.
- Whitney K. Newey & Kenneth D. West, 1986. "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix," NBER Technical Working Papers 0055, National Bureau of Economic Research, Inc.
- repec:bla:jfinan:v:43:y:1988:i:3:p:701-17 is not listed on IDEAS
- Gamble, Ralph Jr., 1993. "The January effect and intergenerational transfers," The Quarterly Review of Economics and Finance, Elsevier, vol. 33(3), pages 295-304.
- Lakonishok, Josef, et al, 1991.
"Window Dressing by Pension Fund Managers,"
American Economic Review, American Economic Association, vol. 81(2), pages 227-231, May.
- Josef Lakonishok & Andrei Shleifer & Richard Thaler & Robert Vishny, 1991. "Window Dressing by Pension Fund Managers," NBER Working Papers 3617, National Bureau of Economic Research, Inc.
- Schneeweis, Thomas & Woolridge, J. Randall, 1979. "Capital Market Seasonality: The Case of Bond Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(5), pages 939-958, December.
- Davis, James L, 1994. "The Cross-Section of Realized Stock Returns: The Pre-COMPUSTAT Evidence," Journal of Finance, American Finance Association, vol. 49(5), pages 1579-1593, December.
- Clare, A.D. & Thomas, S.H., 1992. "International evidence for the predictability of bond and stock returns," Discussion Paper Series In Economics And Econometrics 9206, Economics Division, School of Social Sciences, University of Southampton.
- Horowitz, Joel L. & Loughran, Tim & Savin, N. E., 2000. "Three analyses of the firm size premium," Journal of Empirical Finance, Elsevier, vol. 7(2), pages 143-153, August.
- Mark J. Kamstra & Lisa A. Kramer & Maurice D. Levi, 2003.
"Winter Blues: A SAD Stock Market Cycle,"
American Economic Review, American Economic Association, vol. 93(1), pages 324-343, March.
- Mark Kamstra & Lisa Kramer & Maurice D. Levi, 2002. "Winter blues: a SAD stock market cycle," FRB Atlanta Working Paper 2002-13, Federal Reserve Bank of Atlanta.
- Kelly, Patrick J. & Meschke, Felix, 2010. "Sentiment and stock returns: The SAD anomaly revisited," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1308-1326, June.
- Clifford S. Asness & Tobias J. Moskowitz & Lasse Heje Pedersen, 2013. "Value and Momentum Everywhere," Journal of Finance, American Finance Association, vol. 68(3), pages 929-985, June.
- Ogden, Joseph P, 1990. "Turn-of-Month Evaluations of Liquid Profits and Stock Returns: A Common Explanation for the Monthly and January Effects," Journal of Finance, American Finance Association, vol. 45(4), pages 1259-1272, September.
- Kaustia, Markku & Rantapuska, Elias, 2016. "Does mood affect trading behavior?," Journal of Financial Markets, Elsevier, vol. 29(C), pages 1-26.
- repec:bla:jfinan:v:44:y:1989:i:1:p:149-66 is not listed on IDEAS
- Loughran, Tim, 1997. "Book-to-Market across Firm Size, Exchange, and Seasonality: Is There an Effect?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 32(3), pages 249-268, September.
- Priestley, Richard, 1997.
"Seasonality, Stock Returns and the Macroeconomy,"
Economic Journal, Royal Economic Society, vol. 107(445), pages 1742-1750, November.
- Richard Priestley, "undated". "Seasonality, stock returns and the macroeconomy," CERF Discussion Paper Series 95-06, Economics and Finance Section, School of Social Sciences, Brunel University.
- Adam Zaremba, 2015. "The January seasonality and the performance of country-level value and momentum strategies," Copernican Journal of Finance & Accounting, Uniwersytet Mikolaja Kopernika, vol. 4(2), pages 195-209.
- Hong, Harrison & Yu, Jialin, 2009. "Gone fishin': Seasonality in trading activity and asset prices," Journal of Financial Markets, Elsevier, vol. 12(4), pages 672-702, November.
- Sven Bouman & Ben Jacobsen, 2002. "The Halloween Indicator, "Sell in May and Go Away": Another Puzzle," American Economic Review, American Economic Association, vol. 92(5), pages 1618-1635, December.
- Sidney B. Wachtel, 1942. "Certain Observations on Seasonal Movements in Stock Prices," The Journal of Business, University of Chicago Press, vol. 15, pages 184-184.
- Jeffrey R. Gerlach, 2007. "Macroeconomic News And Stock Market Calendar And Weather Anomalies," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 30(2), pages 283-300, June.
- Ronald Doeswijk, 2008. "The Optimism Cycle: Sell in May," De Economist, Springer, vol. 156(2), pages 175-200, June.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, October.
- Zaremba, Adam & Czapkiewicz, Anna, 2017. "The cross section of international government bond returns," Economic Modelling, Elsevier, vol. 66(C), pages 171-183.
- Peter Arendas & Viera Malacka & Maria Schwarzova, 2018. "A Closer Look at the Halloween Effect: The Case of the Dow Jones Industrial Average," IJFS, MDPI, vol. 6(2), pages 1-12, April.
- Zaremba, Adam, 2019. "Cross-sectional seasonalities in international government bond returns," Journal of Banking & Finance, Elsevier, vol. 98(C), pages 80-94.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, October.
- Degenhardt, Thomas & Auer, Benjamin R., 2018. "The “Sell in May” effect: A review and new empirical evidence," The North American Journal of Economics and Finance, Elsevier, vol. 43(C), pages 169-205.
- Zhang, Cherry Y. & Jacobsen, Ben, 2021. "The Halloween indicator, “Sell in May and Go Away”: Everywhere and all the time," Journal of International Money and Finance, Elsevier, vol. 110(C).
- Tomasz Schabek & Henrique Castro, 2017. "“Sell not only in May”. Seasonal Effects on Stock Markets," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 17, pages 5-18.
- Wagner, Moritz & Lee, John Byong-Tek & Margaritis, Dimitris, 2022.
"Mutual fund flows and seasonalities in stock returns,"
Journal of Banking & Finance, Elsevier, vol. 144(C).
- Moritz Wagner & John Byong-Tek Lee & Dimitris Margaritis, 2018. "Mutual Fund Flows and Seasonalities in Stock Returns," Working Papers in Economics 18/17, University of Canterbury, Department of Economics and Finance.
- Kenourgios, Dimitris & Samios, Yiannis, 2021. "Halloween effect and active fund management," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 534-544.
- Zaremba, Adam, 2019. "Cross-sectional seasonalities in international government bond returns," Journal of Banking & Finance, Elsevier, vol. 98(C), pages 80-94.
- Stefanescu, Răzvan & Dumitriu, Ramona, 2020. "Introducere în analiza anomaliilor calendaristice, Partea a doua [An Introduction to the Analysis of the Calendar Anomalies, Part 2]," MPRA Paper 97961, University Library of Munich, Germany.
- Benjamin R. Auer, 2019. "Does the strength of capital market anomalies exhibit seasonal patterns?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(1), pages 91-103, January.
- Plastun, Alex & Sibande, Xolani & Gupta, Rangan & Wohar, Mark E., 2020.
"Halloween Effect in developed stock markets: A historical perspective,"
International Economics, Elsevier, vol. 161(C), pages 130-138.
- Alex Plastun & Xolani Sibande & Rangan Gupta & Mark E. Wohar, 2020. "Halloween Effect in developed stock markets: A historical perspective," International Economics, CEPII research center, issue 161, pages 130-138.
- Adam Zaremba, 2015. "The January seasonality and the performance of country-level value and momentum strategies," Copernican Journal of Finance & Accounting, Uniwersytet Mikolaja Kopernika, vol. 4(2), pages 195-209.
- Chui, David & Wing Cheng, Wui & Chi Chow, Sheung & LI, Ya, 2020. "Eastern Halloween effect: A stochastic dominance approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 68(C).
- Kaustia, Markku & Rantapuska, Elias, 2016. "Does mood affect trading behavior?," Journal of Financial Markets, Elsevier, vol. 29(C), pages 1-26.
- Stefanescu, Răzvan & Dumitriu, Ramona, 2020. "Efectul Turn-of-the-Year pe piaţa valutară din România [The Turn-of-the-Year Effect in the Romanian foreign exchange market]," MPRA Paper 99365, University Library of Munich, Germany, revised 30 Mar 2020.
- Chen, Zhongdong & Schmidt, Adam & Wang, Jin’ai, 2021. "Retail investor risk-seeking, attention, and the January effect," Journal of Behavioral and Experimental Finance, Elsevier, vol. 30(C).
- Kaustia, Markku & Rantapuska, Elias, 2013. "Does mood affect trading behavior?," SAFE Working Paper Series 4, Leibniz Institute for Financial Research SAFE.
- Levy, Tamir & Yagil, Joseph, 2012. "The week-of-the-year effect: Evidence from around the globe," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1963-1974.
- Urquhart, Andrew & McGroarty, Frank, 2014. "Calendar effects, market conditions and the Adaptive Market Hypothesis: Evidence from long-run U.S. data," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 154-166.
- Podgórski Błażej, 2018. "Impact of the January Effect on Return Rates in the Markets of the 2004 EU Enlargement," Journal of Management and Business Administration. Central Europe, Sciendo, vol. 26(1), pages 27-48, March.
- Suliman Zakaria Suliman Abdalla, 2015. "An Investigation of the Month-of-The-Year Effect for the Sudanese Stock Market," Working Papers 924, Economic Research Forum, revised Jun 2015.
More about this item
Keywords
Seasonal anomalies; Calendar anomalies; January effect; Sell in may and go away; Halloween indicator; Government bonds; Sovereign bonds; Fixed-income securities;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:riibaf:v:41:y:2017:i:c:p:292-302. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/ribaf .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.