Revisiting seasonality in overnight and daytime returns in the U.S. equity markets : mean-variance, sharpe ratio and stochastic dominance approaches
João Dionísio Monteiro, Ernesto Raúl Ferreira
| Year of publication: |
2019
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|---|---|
| Authors: | Monteiro, João Dionísio ; Ferreira, Ernesto Raúl |
| Published in: |
Finance a úvěr. - Praha : Datakonekt, ISSN 0015-1920, ZDB-ID 860318-2. - Vol. 69.2019, 4, p. 384-414
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| Subject: | U.S. equity exchange-traded funds | overnight and daytime returns | day-of-the-week effect | mean-variance | sharpe ratio | stochastic dominance | Kapitaleinkommen | Capital income | USA | United States | Portfolio-Management | Portfolio selection | Aktienmarkt | Stock market | Kalendereffekt | Calendar effect | Börsenkurs | Share price | Saisonale Schwankungen | Seasonal variations |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012137448