Matches in SemOpenAlex for { <https://semopenalex.org/work/W2770636325> ?p ?o ?g. }
- W2770636325 abstract "Seasonalities in asset returns, including the January effect, the Halloween effect and the same-calendar-month effect, are widely documented in the literature. We show that a number of popular factors in the empirical asset pricing literature exhibit some well-known seasonalities. Most of the factor models we consider are able to effectively capture seasonalities in the returns of our test portfolios. Carhart four-factor performs the best in terms of explaining the seasonalities of underlying markets. It is the first attempt to empirically test Keloharju et al. (2016) hypothesis and extend it to compare asset pricing models." @default.
- W2770636325 created "2017-12-04" @default.
- W2770636325 creator A5017193282 @default.
- W2770636325 date "2017-01-01" @default.
- W2770636325 modified "2023-09-26" @default.
- W2770636325 title "An Empirical Analysis of Factor Seasonalities" @default.
- W2770636325 cites W1590844819 @default.
- W2770636325 cites W1596347046 @default.
- W2770636325 cites W1893200693 @default.
- W2770636325 cites W1968372685 @default.
- W2770636325 cites W1976085669 @default.
- W2770636325 cites W1984948669 @default.
- W2770636325 cites W1989808110 @default.
- W2770636325 cites W1993450672 @default.
- W2770636325 cites W1995834279 @default.
- W2770636325 cites W2003626215 @default.
- W2770636325 cites W2014867024 @default.
- W2770636325 cites W2015800048 @default.
- W2770636325 cites W2016907534 @default.
- W2770636325 cites W2023826935 @default.
- W2770636325 cites W2044527319 @default.
- W2770636325 cites W2051986033 @default.
- W2770636325 cites W2069147838 @default.
- W2770636325 cites W2071011925 @default.
- W2770636325 cites W2075204813 @default.
- W2770636325 cites W2083015905 @default.
- W2770636325 cites W2087745998 @default.
- W2770636325 cites W2089169136 @default.
- W2770636325 cites W2089556049 @default.
- W2770636325 cites W2113208252 @default.
- W2770636325 cites W2113305199 @default.
- W2770636325 cites W2131177033 @default.
- W2770636325 cites W2136120210 @default.
- W2770636325 cites W2137416604 @default.
- W2770636325 cites W2141673418 @default.
- W2770636325 cites W2165173008 @default.
- W2770636325 cites W2166215547 @default.
- W2770636325 cites W2182051792 @default.
- W2770636325 cites W2196996750 @default.
- W2770636325 cites W2462148148 @default.
- W2770636325 cites W2795848635 @default.
- W2770636325 cites W2899778744 @default.
- W2770636325 cites W2964125295 @default.
- W2770636325 cites W3121401171 @default.
- W2770636325 cites W3122445990 @default.
- W2770636325 cites W3122516690 @default.
- W2770636325 cites W3123699983 @default.
- W2770636325 cites W3124024611 @default.
- W2770636325 cites W3124083251 @default.
- W2770636325 cites W3124596119 @default.
- W2770636325 cites W3125206904 @default.
- W2770636325 cites W3125504280 @default.
- W2770636325 cites W3125649272 @default.
- W2770636325 cites W3125756421 @default.
- W2770636325 cites W4243760387 @default.
- W2770636325 cites W4251448448 @default.
- W2770636325 doi "https://doi.org/10.2139/ssrn.2908720" @default.
- W2770636325 hasPublicationYear "2017" @default.
- W2770636325 type Work @default.
- W2770636325 sameAs 2770636325 @default.
- W2770636325 citedByCount "0" @default.
- W2770636325 crossrefType "journal-article" @default.
- W2770636325 hasAuthorship W2770636325A5017193282 @default.
- W2770636325 hasConcept C105795698 @default.
- W2770636325 hasConcept C106159729 @default.
- W2770636325 hasConcept C120936955 @default.
- W2770636325 hasConcept C149782125 @default.
- W2770636325 hasConcept C151730666 @default.
- W2770636325 hasConcept C162324750 @default.
- W2770636325 hasConcept C181236170 @default.
- W2770636325 hasConcept C2777267654 @default.
- W2770636325 hasConcept C33923547 @default.
- W2770636325 hasConcept C38652104 @default.
- W2770636325 hasConcept C41008148 @default.
- W2770636325 hasConcept C76178495 @default.
- W2770636325 hasConcept C86803240 @default.
- W2770636325 hasConceptScore W2770636325C105795698 @default.
- W2770636325 hasConceptScore W2770636325C106159729 @default.
- W2770636325 hasConceptScore W2770636325C120936955 @default.
- W2770636325 hasConceptScore W2770636325C149782125 @default.
- W2770636325 hasConceptScore W2770636325C151730666 @default.
- W2770636325 hasConceptScore W2770636325C162324750 @default.
- W2770636325 hasConceptScore W2770636325C181236170 @default.
- W2770636325 hasConceptScore W2770636325C2777267654 @default.
- W2770636325 hasConceptScore W2770636325C33923547 @default.
- W2770636325 hasConceptScore W2770636325C38652104 @default.
- W2770636325 hasConceptScore W2770636325C41008148 @default.
- W2770636325 hasConceptScore W2770636325C76178495 @default.
- W2770636325 hasConceptScore W2770636325C86803240 @default.
- W2770636325 hasLocation W27706363251 @default.
- W2770636325 hasOpenAccess W2770636325 @default.
- W2770636325 hasPrimaryLocation W27706363251 @default.
- W2770636325 hasRelatedWork W1599948758 @default.
- W2770636325 hasRelatedWork W1982670486 @default.
- W2770636325 hasRelatedWork W1992560145 @default.
- W2770636325 hasRelatedWork W2001998991 @default.
- W2770636325 hasRelatedWork W2080593818 @default.
- W2770636325 hasRelatedWork W2087134161 @default.
- W2770636325 hasRelatedWork W2102828869 @default.
- W2770636325 hasRelatedWork W2109255069 @default.