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The yearend effect in stock returns over business cycles: A technical note

The yearend effect in stock returns over business cycles: A technical note This paper provides evidence in support of the claim that the well-knownJanuary effect is influenced by the stage of the business cycle. Using monthly data for the S&P Composite Index for the period from November 1948 through December 1988 and the standard methodology for seasonal anomalies, the authors show that theJanuary effect is present during the entire period examined as well as in the expansionary phases of that period. However, its existence was not detected during the contractionary phases of that period. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Economics and Finance Springer Journals

The yearend effect in stock returns over business cycles: A technical note

Journal of Economics and Finance , Volume 16 (1) – Jun 20, 2008

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References (15)

Publisher
Springer Journals
Copyright
Copyright
Subject
Economics; Economics, general; Macroeconomics/Monetary Economics//Financial Economics; Finance, general
ISSN
1055-0925
eISSN
1938-9744
DOI
10.1007/BF02919794
Publisher site
See Article on Publisher Site

Abstract

This paper provides evidence in support of the claim that the well-knownJanuary effect is influenced by the stage of the business cycle. Using monthly data for the S&P Composite Index for the period from November 1948 through December 1988 and the standard methodology for seasonal anomalies, the authors show that theJanuary effect is present during the entire period examined as well as in the expansionary phases of that period. However, its existence was not detected during the contractionary phases of that period.

Journal

Journal of Economics and FinanceSpringer Journals

Published: Jun 20, 2008

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