On stock return seasonality and conditional heteroskedasticity

Journal of Financial Research

Volumn 21, Issue 2, 1998, Pages 229-246

  Beller, Kenneth ^a   Nofsinger, John R ^b  

^a WASHINGTON STATE UNIVERSITY   (United States)

^b MARQUETTE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 1942427510     PISSN: 02702592     EISSN: 14756803     Source Type: Journal    
DOI: 10.1111/j.1475-6803.1998.tb00682.x     Document Type: Article

References (15)

1. Alles, L. and J. Kling, 1994, Regularities in the variation of skewness in asset returns, Journal of Financial Research 17, 427–38.
2. Berndt, E., B. Hall, R. Hall, and J. Hausman, 1974, Estimation and inference in nonlinear structural models, Annals of Economic and Social Measurement 3, 653–65.
3. Bollerslev, T., 1986, Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics 31, 307–27.
4. Chang, E. C. and J. M. Pinegar, 1990, Stock market seasonals and prespecified multifactor pricing relations, Journal of Financial and Quantitative Analysis 25, 517–33.
5. Engle, R. and V. Ng, 1993, Measuring and testing the impact of news on volatility, Journal of Finance 48, 1749–78.
6. Glosten, L., R. Jagannathan, and D. Runkle, 1993, On the relation between the expected value and the volatility of the nominal excess return on stocks, Journal of Finance 48, 1779–1801.
7. Hentschel, L., 1995, All in the family: Nesting symmetric and asymmetric GARCH models, Journal of Financial Economics 39, 71–104.
8. Jones, S. and W. Lee, 1995, Evidence on the behavior of bid and ask prices at the turn of the year: Implications for the survival of stock return seasonality, Journal of Financial Research 18, 383–400.
9. Kandel, S. and R. Stambaugh, 1990, Expectations and volatility of consumption and asset returns. Review of Financial Studies 3, 207–32.
10. Keim, D. B., 1983, Size-related anomalies and stock return seasonality: Further empirical evidence, Journal of Financial Economics 12, 13–32.
11. Penman, S. H., 1987, The distribution of earnings news over time and seasonalities in aggregate stock returns, Journal of Financial Economics 18, 199–228.
12. Ritter, J. R., 1988, The buying and selling behavior of individual investors at the turn of the year, Journal of Finance 43, 701–17.
13. Schwarz, G., 1978, Estimating the dimension of a model, Annals of Statistics 6, 461–64.
14. Schwert, G., 1989, Why does stock market volatility change over time?, Journal of Finance 44, 1115–53.
15. Tinic, S. M. and R. R. West, 1984, Risk and return: January vs. the rest of the year, Journal of Financial Economics 13, 561–74.