ON STOCK RETURN SEASONALITY AND CONDITIONAL HETEROSKEDASTICITY

Journal of Financial Research - Tập 21 Số 2 - Trang 229-246 - 1998
Kenneth Beller1, John R. Nofsinger2
1washington state university
2Marquette University

Tóm tắt

AbstractWe model the seasonal volatility of stock returns using GARCH specifications and size‐sorted portfolios. Estimation results indicate that there are volatility differences between months and that these seasonal volatility patterns are conditional on firm size. Additionally, we find that seasonal volatility does not explain seasonal returns when the reward for risk is held constant over the sample period. Specifically, our results indicate that much of the abnormal return in January for small firms cannot be entirely attributed to either higher systematic risk or a higher risk premium in January.

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Thông tin xuất bản

Journal of Financial Research

Tập 21 Số 2

229-246

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