Verkauf durch Sack Fachmedien

Epstein / Savage

January Effect and Other Seasonal Anomalies

Medium: Buch
ISBN: 978-0-7623-0552-0
Verlag: Jai Press Inc.
Erscheinungstermin: 10.05.2000
Lieferfrist: bis zu 10 Tage

This book applies John Maynard Keynes' theory of investor liquidity preferences to the examination of the stock market literature on the January effect and other seasonal anomalies. Keynes' theory provides a common theoretical framework and represents a paradigm shift for the examination of all seasonals. An extensive literature review is provided along with identification and empirical examinations of the intergenerational transfers hypothesis, special closings of the New York Stock Exchange, tax (estimated tax) payment effects, and an historical/contemporary retail merchandising industry seasonal. Databases used for empirical tests include the Stock Index and Market Seasonals (SIMS) database, the Cowles Index and contemporary Standards and Poor's counterparts, and the Internal Revenue Service's Statistic of Income public use file.


Produkteigenschaften


  • Artikelnummer: 9780762305520
  • Medium: Buch
  • ISBN: 978-0-7623-0552-0
  • Verlag: Jai Press Inc.
  • Erscheinungstermin: 10.05.2000
  • Sprache(n): Englisch
  • Auflage: Erscheinungsjahr 2000
  • Serie: Studies in Managerial and Financial Accounting
  • Produktform: Gebunden
  • Gewicht: 681 g
  • Seiten: 344
  • Format (B x H x T): 161 x 240 x 23 mm
  • Ausgabetyp: Kein, Unbekannt
Autoren/Hrsg.

Herausgeber

Preface. An Introduction to Keynes' Common Theoretical Framework for All Seasonal Anomalies. Keynes' theory of liquidity preferences. Contemporary Explanations for the January Effect. Tax loss selling and the January effect. The intergenerational transfers hypothesis and the January effect. Capital asset pricing model misspecification and the January effect. Seasonal information flows and the January effect. Window dressing and the January effect. Seasonals Other than the January Effect. The weekend and day-of-the-week effects. The holiday effect. Tax (estimated) tax payment effects. End-of-the-month/turn-of-the-month effects. Month-of-the-year effects. The January Effect and Other Seasonals - A Summary. An historical/contemporary retail merchandising seasonal? The Stock Index and Market Seasonals database. Summary and suggestions for further research. Annotated bibliography. Acronyms. Glossary of hypotheses and terms.