☆ 4.6 Article

Mood seasonality around the globe

PACIFIC-BASIN FINANCE JOURNAL (2023)

Related references

Note: Only part of the references are listed.

Article Business, Finance

Guidelines for asset pricing research using international equity data from Thomson Reuters Datastream

Conrad Landis et al.

Summary: This study offers detailed guidelines and code to extract high-quality international equity data from Thomson Reuters Datastream, showing that the approach increases coverage, improves accuracy, filters problematic data, and reduces bias and staleness. Validation demonstrates the approach's effectiveness in the U.S. market, while also highlighting significant differences between international factors from other sources, justifying the proposed guidelines for international research.

JOURNAL OF BANKING & FINANCE (2021)

Add to Collection

Article Business, Finance

The Halloween indicator, Sell in May and Go Away: Everywhere and all the time

Cherry Y. Zhang et al.

Summary: The study verifies the robustness of the Halloween Indicator or Sell in May effect using historical data on all stock market indices worldwide, showing higher returns during November-April compared to May-October. Negative worldwide excess returns during summer indicate a flat or negative risk-return relation, except for Mauritius. The dataset also provides a new estimate for the equity premium of around 4%.

JOURNAL OF INTERNATIONAL MONEY AND FINANCE (2021)

Add to Collection

Article Business, Finance

Testing the mood seasonality hypothesis: Evidence from down under

Deok-Hyeon Lee et al.

PACIFIC-BASIN FINANCE JOURNAL (2020)

Add to Collection

Article Business, Finance

Mood beta and seasonalities in stock returns

David Hirshleifer et al.

JOURNAL OF FINANCIAL ECONOMICS (2020)

Add to Collection

Article Business, Finance

Common risk factors in international stock markets

Peter S. Schmidt et al.

FINANCIAL MARKETS AND PORTFOLIO MANAGEMENT (2019)

Add to Collection

Article Business, Finance

A Lottery-Demand-Based Explanation of the Beta Anomaly

Turan G. Bali et al.

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS (2017)

Add to Collection

Article Business, Finance

Seasonal Asset Allocation: Evidence from Mutual Fund Flows

Mark J. Kamstra et al.

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS (2017)

Add to Collection

Article Business, Finance

International tests of a five-factor asset pricing model

Eugene F. Fama et al.

JOURNAL OF FINANCIAL ECONOMICS (2017)

Add to Collection

Article Business, Finance

Return Seasonalities

Matti Keloharju et al.

JOURNAL OF FINANCE (2016)

Add to Collection

Article Business, Finance

A five-factor asset pricing model

Eugene F. Fama et al.

JOURNAL OF FINANCIAL ECONOMICS (2015)

Add to Collection

Article Business, Finance

Size, value, and momentum in international stock returns

Eugene F. Fama et al.

JOURNAL OF FINANCIAL ECONOMICS (2012)

Add to Collection

Article Business, Finance

Gambling Preference and the New Year Effect of Assets with Lottery Features*

James S. Doran et al.

REVIEW OF FINANCE (2012)

Add to Collection

Article Psychology, Social

This is Your Portfolio on Winter: Seasonal Affective Disorder and Risk Aversion in Financial Decision Making

Lisa A. Kramer et al.

SOCIAL PSYCHOLOGICAL AND PERSONALITY SCIENCE (2012)

Add to Collection

Article Business, Finance

Maxing out: Stocks as lotteries and the cross-section of expected returns

Turan G. Bali et al.

JOURNAL OF FINANCIAL ECONOMICS (2011)

Add to Collection

Article Business, Finance

The world price of liquidity risk

Kuan-Hui Lee

JOURNAL OF FINANCIAL ECONOMICS (2011)

Add to Collection

Article Business, Finance

International Stock Return Comovements

Geert Bekaert et al.

JOURNAL OF FINANCE (2009)

Add to Collection

Article Business, Finance

Seasonality in the cross-section of stock returns

Steven L. Heston et al.

JOURNAL OF FINANCIAL ECONOMICS (2008)

Add to Collection

Article Business, Finance

Liquidity and expected returns: Lessons from emerging markets

Geert Bekaert et al.

REVIEW OF FINANCIAL STUDIES (2007)

Add to Collection

Article Business, Finance

The cross-section of volatility and expected returns

A Ang et al.

JOURNAL OF FINANCE (2006)

Add to Collection

Article Business, Finance

Good day sunshine: Stock returns and the weather

D Hirshleifer et al.

JOURNAL OF FINANCE (2003)

Add to Collection

Article Economics

Winter blues: A SAD stock market cycle

MJ Kamstra et al.

AMERICAN ECONOMIC REVIEW (2003)

Add to Collection

Article Economics

The Halloween indicator, sell in may and go away: Another puzzle

S Bouman et al.

AMERICAN ECONOMIC REVIEW (2002)

Add to Collection

Article Business, Finance

Overconfidence, arbitrage, and equilibrium asset pricing

KD Daniel et al.

JOURNAL OF FINANCE (2001)

Add to Collection

© Peeref 2019-2024. All rights reserved.