메뉴 건너뛰기




Volumn 19, Issue 3, 1996, Pages 395-416

Macroeconomic variables and seasonal mean reversion in stock returns

Author keywords

[No Author keywords available]

Indexed keywords


EID: 3342938803     PISSN: 02702592     EISSN: 14756803     Source Type: Journal    
DOI: 10.1111/j.1475-6803.1996.tb00221.x     Document Type: Article
Times cited : (5)

References (16)
  • 1
    • 0000232861 scopus 로고
    • An exploratory investigation of the firm size effect
    • Chan, K. C., N. F. Chen, and D. Hsieh, 1985, An exploratory investigation of the firm size effect, Journal of Financial Economics 14, 451–71.
    • (1985) Journal of Financial Economics , vol.14 , pp. 451-471
    • Chan, K.C.1    Chen, N.F.2    Hsieh, D.3
  • 2
    • 38249039768 scopus 로고
    • Return seasonality and tax-loss selling in the market for long-term government and corporate bonds
    • Chang, E. C. and J. M. Pinegar, 1986, Return seasonality and tax-loss selling in the market for long-term government and corporate bonds, Journal of Financial Economics 17, 391–415.
    • (1986) Journal of Financial Economics , vol.17 , pp. 391-415
    • Chang, E.C.1    Pinegar, J.M.2
  • 3
    • 0000496978 scopus 로고
    • Economic forces and the stock market
    • Chen, N. F., R. Roll, and S. Ross, 1986, Economic forces and the stock market, Journal of Business 59, 383–403.
    • (1986) Journal of Business , vol.59 , pp. 383-403
    • Chen, N.F.1    Roll, R.2    Ross, S.3
  • 4
  • 5
    • 84936823605 scopus 로고
    • Permanent and temporary components of stock prices
    • Fama, E. and K. R. French, 1988, Permanent and temporary components of stock prices, Journal of Political Economy 96, 246–73.
    • (1988) Journal of Political Economy , vol.96 , pp. 246-273
    • Fama, E.1    French, K.R.2
  • 7
    • 0000928969 scopus 로고
    • Risk, return and equilibrium: Empirical tests
    • Fama, E. and J. MacBeth, 1973, Risk, return and equilibrium: Empirical tests, Journal of Political Economy 81, 607–36.
    • (1973) Journal of Political Economy , vol.81 , pp. 607-636
    • Fama, E.1    MacBeth, J.2
  • 8
    • 84986464728 scopus 로고
    • Risk-return seasonality and macroeconomic variables
    • Gangopadhyay, P., 1994, Risk-return seasonality and macroeconomic variables, Journal of Financial Research 17, 347–61.
    • (1994) Journal of Financial Research , vol.17 , pp. 347-361
    • Gangopadhyay, P.1
  • 10
    • 84977728314 scopus 로고
    • Seasonality in stock price mean reversion: Evidence from the U.S. and the U.K
    • Jegadeesh, N., 1991, Seasonality in stock price mean reversion: Evidence from the U.S. and the U.K., Journal of Finance 46, 1427–44.
    • (1991) Journal of Finance , vol.46 , pp. 1427-1444
    • Jegadeesh, N.1
  • 11
    • 84959822288 scopus 로고
    • Mean reversion in stock prices? A reappraisal of the empirical evidence
    • Kim, M., C. R. Nelson, and R. Startz, 1991, Mean reversion in stock prices? A reappraisal of the empirical evidence, Review of Economic Studies 58, 515–28.
    • (1991) Review of Economic Studies , vol.58 , pp. 515-528
    • Kim, M.1    Nelson, C.R.2    Startz, R.3
  • 13
    • 0002158052 scopus 로고
    • Mean reversion in stock prices: Evidence and implications
    • Poterba, J. A. and L. M. Summers, 1988, Mean reversion in stock prices: Evidence and implications, Journal of Financial Economics 22, 27–59.
    • (1988) Journal of Financial Economics , vol.22 , pp. 27-59
    • Poterba, J.A.1    Summers, L.M.2
  • 14
    • 80054106503 scopus 로고
    • Discussion: What the anomalies mean
    • Reinganum, M. R., 1984, Discussion: What the anomalies mean, Journal of Finance 39, 837–40.
    • (1984) Journal of Finance , vol.39 , pp. 837-840
    • Reinganum, M.R.1
  • 15
    • 38249025506 scopus 로고
    • Drawing inferences from statistics based on multiyear asset returns
    • Richardson, M. and J. H. Stock, 1989, Drawing inferences from statistics based on multiyear asset returns, Journal of Financial Economics 25, 323–48.
    • (1989) Journal of Financial Economics , vol.25 , pp. 323-348
    • Richardson, M.1    Stock, J.H.2
  • 16
    • 0000095552 scopus 로고
    • A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity
    • White, H., 1980, A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity, Econometrica 48, 817–38.
    • (1980) Econometrica , vol.48 , pp. 817-838
    • White, H.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.