A factor model of seasonality in stock returns

Published as an article in: The Quarterly Review of Economics and Finance, 2004, vol. 44, issue 2, pages 224-236.

Year of publication:	2002
Authors:	Regúlez Castillo, Marta ; Gardeazabal, Javier
Institutions:	Departamento de Fundamentos del Análisis Económico II, Facultad de Ciencias Económicas y Empresariales
Subject:	stock returns \| daily seasonality \| common risk factors

Extent:	application/pdf
Series:	DFAEII Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	The text is part of a series DFAEII 2002.19 Number 2002-19
Classification:	C33 - Models with Panel Data ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004972684