Date of Award
Master of Science (MS)
Economics and Finance
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.
Bagshaw, Justin Michael, "An Extended Look at the Seasonality of Stock Returns" (2015). All Graduate Plan B and other Reports. 473.
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