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The Halloween indicator, "sell in may and go away": Another puzzle
被引:189
作者
:
Bouman, S
论文数:
0
引用数:
0
h-index:
0
机构:
AEGON Asset Management, NL-2501 CX The Hague, Netherlands
Bouman, S
Jacobsen, B
论文数:
0
引用数:
0
h-index:
0
机构:
AEGON Asset Management, NL-2501 CX The Hague, Netherlands
Jacobsen, B
机构
:
[1]
AEGON Asset Management, NL-2501 CX The Hague, Netherlands
[2]
Erasmus Univ, Rotterdam Sch Management, Fac Business Adm, Financial Management Dept,RIFM, NL-3000 DR Rotterdam, Netherlands
来源
:
AMERICAN ECONOMIC REVIEW
|
2002年
/ 92卷
/ 05期
关键词
:
D O I
:
10.1257/000282802762024683
中图分类号
:
F [经济];
学科分类号
:
02 ;
摘要
:
[No abstract available]
引用
收藏
页码:1618 / 1635
页数:18
相关论文
共 25 条
[1]
ANOMALIES OR ILLUSIONS - EVIDENCE FROM STOCK MARKETS IN 18 COUNTRIES
AGRAWAL, A
论文数:
0
引用数:
0
h-index:
0
机构:
CUNY BERNARD M BARUCH COLL,DEPT ECON & FINANCE,NEW YORK,NY 10010
CUNY BERNARD M BARUCH COLL,DEPT ECON & FINANCE,NEW YORK,NY 10010
AGRAWAL, A
TANDON, K
论文数:
0
引用数:
0
h-index:
0
机构:
CUNY BERNARD M BARUCH COLL,DEPT ECON & FINANCE,NEW YORK,NY 10010
CUNY BERNARD M BARUCH COLL,DEPT ECON & FINANCE,NEW YORK,NY 10010
TANDON, K
[J].
JOURNAL OF INTERNATIONAL MONEY AND FINANCE,
1994,
13
(01)
: 83
-
106
[2]
[Anonymous], BEATING DOW HIGH RET
[3]
TIME-VARYING WORLD MARKET INTEGRATION
BEKAERT, G
论文数:
0
引用数:
0
h-index:
0
机构:
NATL BUR ECON RES, CAMBRIDGE, MA 02138 USA
BEKAERT, G
HARVEY, CR
论文数:
0
引用数:
0
h-index:
0
机构:
NATL BUR ECON RES, CAMBRIDGE, MA 02138 USA
HARVEY, CR
[J].
JOURNAL OF FINANCE,
1995,
50
(02)
: 403
-
444
[4]
THE TOTAL-COST OF TRANSACTIONS ON THE NYSE
BERKOWITZ, SA
论文数:
0
引用数:
0
h-index:
0
机构:
DARTMOUTH COLL,AMOS TUCK SCH BUSINESS ADM,HANOVER,NH 03755
DARTMOUTH COLL,AMOS TUCK SCH BUSINESS ADM,HANOVER,NH 03755
BERKOWITZ, SA
LOGUE, DE
论文数:
0
引用数:
0
h-index:
0
机构:
DARTMOUTH COLL,AMOS TUCK SCH BUSINESS ADM,HANOVER,NH 03755
DARTMOUTH COLL,AMOS TUCK SCH BUSINESS ADM,HANOVER,NH 03755
LOGUE, DE
NOSER, EA
论文数:
0
引用数:
0
h-index:
0
机构:
DARTMOUTH COLL,AMOS TUCK SCH BUSINESS ADM,HANOVER,NH 03755
DARTMOUTH COLL,AMOS TUCK SCH BUSINESS ADM,HANOVER,NH 03755
NOSER, EA
[J].
JOURNAL OF FINANCE,
1988,
43
(01)
: 97
-
112
[5]
THE EMERGENCE OF EQUITY INVESTMENT IN DEVELOPING-COUNTRIES - OVERVIEW
CLAESSENS, S
论文数:
0
引用数:
0
h-index:
0
机构:
Technical Department of the Europe, North Africa Regions at the World Bank
CLAESSENS, S
[J].
WORLD BANK ECONOMIC REVIEW,
1995,
9
(01)
: 1
-
17
[6]
DEJONG F, 2001, 3102 DP CTR EC POL R
[7]
Murphy's law and market anomalies -: The size premium may have gone into reverse, but the size effect lives on.
Dimson, E
论文数:
0
引用数:
0
h-index:
0
机构:
London Business Sch, London NW1 4SA, England
London Business Sch, London NW1 4SA, England
Dimson, E
Marsh, P
论文数:
0
引用数:
0
h-index:
0
机构:
London Business Sch, London NW1 4SA, England
London Business Sch, London NW1 4SA, England
Marsh, P
[J].
JOURNAL OF PORTFOLIO MANAGEMENT,
1999,
25
(02)
: 53
-
+
[8]
Glosten L., 1994, J EMPIR FINANC, V1, P133
[9]
Hawawini G., 1995, HBK OPERAT RES MANAG, V9, P497
[10]
ON MARKET TIMING AND INVESTMENT PERFORMANCE .2. STATISTICAL PROCEDURES FOR EVALUATING FORECASTING SKILLS
HENRIKSSON, RD
论文数:
0
引用数:
0
h-index:
0
HENRIKSSON, RD
MERTON, RC
论文数:
0
引用数:
0
h-index:
0
MERTON, RC
[J].
JOURNAL OF BUSINESS,
1981,
54
(04)
: 513
-
533
←
1
2
3
→
共 25 条
[1]
ANOMALIES OR ILLUSIONS - EVIDENCE FROM STOCK MARKETS IN 18 COUNTRIES
AGRAWAL, A
论文数:
0
引用数:
0
h-index:
0
机构:
CUNY BERNARD M BARUCH COLL,DEPT ECON & FINANCE,NEW YORK,NY 10010
CUNY BERNARD M BARUCH COLL,DEPT ECON & FINANCE,NEW YORK,NY 10010
AGRAWAL, A
TANDON, K
论文数:
0
引用数:
0
h-index:
0
机构:
CUNY BERNARD M BARUCH COLL,DEPT ECON & FINANCE,NEW YORK,NY 10010
CUNY BERNARD M BARUCH COLL,DEPT ECON & FINANCE,NEW YORK,NY 10010
TANDON, K
[J].
JOURNAL OF INTERNATIONAL MONEY AND FINANCE,
1994,
13
(01)
: 83
-
106
[2]
[Anonymous], BEATING DOW HIGH RET
[3]
TIME-VARYING WORLD MARKET INTEGRATION
BEKAERT, G
论文数:
0
引用数:
0
h-index:
0
机构:
NATL BUR ECON RES, CAMBRIDGE, MA 02138 USA
BEKAERT, G
HARVEY, CR
论文数:
0
引用数:
0
h-index:
0
机构:
NATL BUR ECON RES, CAMBRIDGE, MA 02138 USA
HARVEY, CR
[J].
JOURNAL OF FINANCE,
1995,
50
(02)
: 403
-
444
[4]
THE TOTAL-COST OF TRANSACTIONS ON THE NYSE
BERKOWITZ, SA
论文数:
0
引用数:
0
h-index:
0
机构:
DARTMOUTH COLL,AMOS TUCK SCH BUSINESS ADM,HANOVER,NH 03755
DARTMOUTH COLL,AMOS TUCK SCH BUSINESS ADM,HANOVER,NH 03755
BERKOWITZ, SA
LOGUE, DE
论文数:
0
引用数:
0
h-index:
0
机构:
DARTMOUTH COLL,AMOS TUCK SCH BUSINESS ADM,HANOVER,NH 03755
DARTMOUTH COLL,AMOS TUCK SCH BUSINESS ADM,HANOVER,NH 03755
LOGUE, DE
NOSER, EA
论文数:
0
引用数:
0
h-index:
0
机构:
DARTMOUTH COLL,AMOS TUCK SCH BUSINESS ADM,HANOVER,NH 03755
DARTMOUTH COLL,AMOS TUCK SCH BUSINESS ADM,HANOVER,NH 03755
NOSER, EA
[J].
JOURNAL OF FINANCE,
1988,
43
(01)
: 97
-
112
[5]
THE EMERGENCE OF EQUITY INVESTMENT IN DEVELOPING-COUNTRIES - OVERVIEW
CLAESSENS, S
论文数:
0
引用数:
0
h-index:
0
机构:
Technical Department of the Europe, North Africa Regions at the World Bank
CLAESSENS, S
[J].
WORLD BANK ECONOMIC REVIEW,
1995,
9
(01)
: 1
-
17
[6]
DEJONG F, 2001, 3102 DP CTR EC POL R
[7]
Murphy's law and market anomalies -: The size premium may have gone into reverse, but the size effect lives on.
Dimson, E
论文数:
0
引用数:
0
h-index:
0
机构:
London Business Sch, London NW1 4SA, England
London Business Sch, London NW1 4SA, England
Dimson, E
Marsh, P
论文数:
0
引用数:
0
h-index:
0
机构:
London Business Sch, London NW1 4SA, England
London Business Sch, London NW1 4SA, England
Marsh, P
[J].
JOURNAL OF PORTFOLIO MANAGEMENT,
1999,
25
(02)
: 53
-
+
[8]
Glosten L., 1994, J EMPIR FINANC, V1, P133
[9]
Hawawini G., 1995, HBK OPERAT RES MANAG, V9, P497
[10]
ON MARKET TIMING AND INVESTMENT PERFORMANCE .2. STATISTICAL PROCEDURES FOR EVALUATING FORECASTING SKILLS
HENRIKSSON, RD
论文数:
0
引用数:
0
h-index:
0
HENRIKSSON, RD
MERTON, RC
论文数:
0
引用数:
0
h-index:
0
MERTON, RC
[J].
JOURNAL OF BUSINESS,
1981,
54
(04)
: 513
-
533
←
1
2
3
→