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Seasonality in the Cross Section of Stock Returns: The International Evidence

Citations

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Cited by:

  1. Easterday, Kathryn E. & Sen, Pradyot K., 2016. "Is the January effect rational? Insights from the accounting valuation model," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 168-185.
  2. Song, Jian & Balvers, Ronald J., 2022. "Seasonality and momentum across national equity markets," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
  3. Li, Fengyun & Zhang, Huacheng & Zheng, Dazhi, 2018. "Seasonality in the cross section of stock returns: Advanced markets versus emerging markets," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 263-281.
  4. Bertrand, Jérémie & Burietz, Aurore & Weill, Laurent, 2021. "The month-of-the-year effect in corporate lending," Finance Research Letters, Elsevier, vol. 43(C).
  5. Philip Ndikum, 2020. "Machine Learning Algorithms for Financial Asset Price Forecasting," Papers 2004.01504, arXiv.org.
  6. Yuan Li, 2022. "Mood Beta, Sentiment and Stock Returns in China," SAGE Open, , vol. 12(1), pages 21582440221, February.
  7. Beckmeyer, Heiner & Wiedemann, Timo, 2022. "Recovering Missing Firm Characteristics with Attention-Based Machine Learning," VfS Annual Conference 2022 (Basel): Big Data in Economics 264135, Verein für Socialpolitik / German Economic Association.
  8. Hirshleifer, David & Jiang, Danling & DiGiovanni, Yuting Meng, 2020. "Mood beta and seasonalities in stock returns," Journal of Financial Economics, Elsevier, vol. 137(1), pages 272-295.
  9. Jansen, Maarten & Swinkels, Laurens & Zhou, Weili, 2021. "Anomalies in the China A-share market," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
  10. Peress, Joël & Dong, Xi & KANG, NAMHO, 2020. "Fast and Slow Arbitrage: Fund Flows and Mispricing in the Frequency Domain," CEPR Discussion Papers 15235, C.E.P.R. Discussion Papers.
  11. Long, Huaigang & Zaremba, Adam & Demir, Ender & Szczygielski, Jan Jakub & Vasenin, Mikhail, 2020. "Seasonality in the Cross-Section of Cryptocurrency Returns," Finance Research Letters, Elsevier, vol. 35(C).
  12. Daniel Hofmann & Karl Ludwig Keiber, 2021. "Seasonalities in the German stock market," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 35(2), pages 151-192, June.
  13. Adam Zaremba, 2019. "The Cross Section of Country Equity Returns: A Review of Empirical Literature," JRFM, MDPI, vol. 12(4), pages 1-26, October.
  14. Martin H. Schmidt, 2017. "Trading strategies based on past returns: evidence from Germany," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(2), pages 201-256, May.
  15. Mikutowski, Mateusz & Karathanasopoulos, Andreas & Zaremba, Adam, 2019. "Return seasonalities in government bonds and macroeconomic risk," Economics Letters, Elsevier, vol. 176(C), pages 114-116.
  16. Barber, Brad M. & De George, Emmanuel T. & Lehavy, Reuven & Trueman, Brett, 2013. "The earnings announcement premium around the globe," Journal of Financial Economics, Elsevier, vol. 108(1), pages 118-138.
  17. Daniel Arand & Alexander Kerl & Andreas Walter, 2015. "When Do Sell†side Analyst Reports Really Matter? Shareholder Protection, Institutional Investors and the Informativeness of Equity Research," European Financial Management, European Financial Management Association, vol. 21(3), pages 524-555, June.
  18. Mercik, Aleksander & Cupriak, Daniel & Zaremba, Adam, 2023. "Factor seasonalities: International and further evidence," Finance Research Letters, Elsevier, vol. 58(PA).
  19. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, June.
  20. Matti Keloharju & Juhani T. Linnainmaa & Peter Nyberg, 2014. "Common Factors in Return Seasonalities," NBER Working Papers 20815, National Bureau of Economic Research, Inc.
  21. Zaremba, Adam, 2019. "Cross-sectional seasonalities in international government bond returns," Journal of Banking & Finance, Elsevier, vol. 98(C), pages 80-94.
  22. Kuo, Wei-Yu & Zhao, Jing, 2023. "Pre-holiday limit order cancellation of individual and institutional investors," Finance Research Letters, Elsevier, vol. 52(C).
  23. Fang, Xuyun & Jiang, Zhiqian & Liu, Baixiao & McConnell, John J. & Zhou, Mingshan, 2022. "Ease-of-processing heuristics and asset prices: Evidence from the exchange-traded repo market in China," Journal of Financial Markets, Elsevier, vol. 59(PB).
  24. Marco Bee & Debbie J. Dupuis & Luca Trapin, 2016. "US stock returns: are there seasons of excesses?," Quantitative Finance, Taylor & Francis Journals, vol. 16(9), pages 1453-1464, September.
  25. Guo, Shuxin & Yuan, Yue & Ma, Feng, 2022. "Cross-sectional seasonalities and seasonal reversals: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 82(C).
  26. 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).
  27. Gong, Qiang & Liu, Ming & Liu, Qianqiu, 2015. "Momentum is really short-term momentum," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 169-182.
  28. 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).
  29. Keloharju, Matti & Linnainmaa, Juhani T. & Nyberg, Peter, 2021. "Are return seasonalities due to risk or mispricing?," Journal of Financial Economics, Elsevier, vol. 139(1), pages 138-161.
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