Date of Award
5-2015
Degree Type
Report
Degree Name
Master of Science (MS)
Department
Economics and Finance
Committee Chair(s)
Tyler Brough
Committee
Tyler Brough
Committee
Benjamin Blau
Committee
Ryan Whitby
Abstract
I examine seasonal effects relating to stock index returns including the weekend effect, December effect, and the turn-of-the-month effect with daily data from the Dox Jones Industrial Average and the S&P 500. I find that the publication of a paper in 1989 by Josef Lakonishok and Seymour Smidt has substantially reduced the amount of significantly abnormal returns in the years following. In some cases, the effects have also slightly reversed.
Recommended Citation
Bagshaw, Justin Michael, "An Extended Look at the Seasonality of Stock Returns" (2015). All Graduate Plan B and other Reports, Spring 1920 to Spring 2023. 473.
https://digitalcommons.usu.edu/gradreports/473
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