Matches in SemOpenAlex for { <https://semopenalex.org/work/W2500632997> ?p ?o ?g. }
Showing items 1 to 66 of
66
with 100 items per page.
- W2500632997 abstract "The mean return for small and large capitalized stocks in the cash and futures markets was positive in the first half of the month and negative in the second half of the month during the 10-year period of futures trading from May 1982–April 1992. The mean return in the cash and futures markets for small and large capitalized stocks at the turn-of-the-month fiveday trading period was significantly greater than average. There was partial anticipation of the cash turn-of-the-month effect in the futures markets on the previous three trading days. There was seasonality in the monthly return patterns, with the first and last quarter exhibiting higher returns at the turn-of-the-month and in the first half of the month. These results are an out-of-sample confirmation of the turn-of-the-month anomaly Ariel (1987) reported for the cash market in the earlier period 1963–1981. The anomaly appears in the cash and futures markets, ruling out many explanations of the cash market anomaly that are based on trading frictions." @default.
- W2500632997 created "2016-08-23" @default.
- W2500632997 creator A5033191318 @default.
- W2500632997 creator A5033701615 @default.
- W2500632997 creator A5075333143 @default.
- W2500632997 date "2016-09-14" @default.
- W2500632997 modified "2023-09-26" @default.
- W2500632997 title "The Turn-of-the-Month Effect in the U.S. Stock Index Futures Markets, 1982–1992" @default.
- W2500632997 doi "https://doi.org/10.1142/9789813144385_0003" @default.
- W2500632997 hasPublicationYear "2016" @default.
- W2500632997 type Work @default.
- W2500632997 sameAs 2500632997 @default.
- W2500632997 citedByCount "1" @default.
- W2500632997 crossrefType "book-chapter" @default.
- W2500632997 hasAuthorship W2500632997A5033191318 @default.
- W2500632997 hasAuthorship W2500632997A5033701615 @default.
- W2500632997 hasAuthorship W2500632997A5075333143 @default.
- W2500632997 hasConcept C10138342 @default.
- W2500632997 hasConcept C106159729 @default.
- W2500632997 hasConcept C106306483 @default.
- W2500632997 hasConcept C144133560 @default.
- W2500632997 hasConcept C162324750 @default.
- W2500632997 hasConcept C166957645 @default.
- W2500632997 hasConcept C204036174 @default.
- W2500632997 hasConcept C205649164 @default.
- W2500632997 hasConcept C2778083465 @default.
- W2500632997 hasConcept C2983622608 @default.
- W2500632997 hasConcept C556758197 @default.
- W2500632997 hasConceptScore W2500632997C10138342 @default.
- W2500632997 hasConceptScore W2500632997C106159729 @default.
- W2500632997 hasConceptScore W2500632997C106306483 @default.
- W2500632997 hasConceptScore W2500632997C144133560 @default.
- W2500632997 hasConceptScore W2500632997C162324750 @default.
- W2500632997 hasConceptScore W2500632997C166957645 @default.
- W2500632997 hasConceptScore W2500632997C204036174 @default.
- W2500632997 hasConceptScore W2500632997C205649164 @default.
- W2500632997 hasConceptScore W2500632997C2778083465 @default.
- W2500632997 hasConceptScore W2500632997C2983622608 @default.
- W2500632997 hasConceptScore W2500632997C556758197 @default.
- W2500632997 hasLocation W25006329971 @default.
- W2500632997 hasOpenAccess W2500632997 @default.
- W2500632997 hasPrimaryLocation W25006329971 @default.
- W2500632997 hasRelatedWork W1977351219 @default.
- W2500632997 hasRelatedWork W1982742920 @default.
- W2500632997 hasRelatedWork W2023839409 @default.
- W2500632997 hasRelatedWork W2029892233 @default.
- W2500632997 hasRelatedWork W2082649405 @default.
- W2500632997 hasRelatedWork W2101919854 @default.
- W2500632997 hasRelatedWork W2105952105 @default.
- W2500632997 hasRelatedWork W2114369213 @default.
- W2500632997 hasRelatedWork W2166127104 @default.
- W2500632997 hasRelatedWork W2186159966 @default.
- W2500632997 hasRelatedWork W2352733045 @default.
- W2500632997 hasRelatedWork W2355661875 @default.
- W2500632997 hasRelatedWork W2365049394 @default.
- W2500632997 hasRelatedWork W2365706203 @default.
- W2500632997 hasRelatedWork W2367250549 @default.
- W2500632997 hasRelatedWork W2381502014 @default.
- W2500632997 hasRelatedWork W2390757699 @default.
- W2500632997 hasRelatedWork W2391160594 @default.
- W2500632997 hasRelatedWork W30222174 @default.
- W2500632997 hasRelatedWork W3125998496 @default.
- W2500632997 isParatext "false" @default.
- W2500632997 isRetracted "false" @default.
- W2500632997 magId "2500632997" @default.
- W2500632997 workType "book-chapter" @default.