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A re‐examination of international seasonalities
Author(s) -
Alford Alan,
Guffey Daryl M.
Publication year - 1996
Publication title -
review of financial economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.347
H-Index - 41
eISSN - 1873-5924
pISSN - 1058-3300
DOI - 10.1016/s1058-3300(96)90002-6
Subject(s) - numéraire , seasonality , economics , econometrics , market segmentation , financial economics , statistics , mathematics , microeconomics
Previous studies argue that market returns in the United States are higher in January than in the other months. Other studies corroborate this seasonality for other markets. This study reconsiders those conclusions by controlling for the numeraire used, the definition of returns, changes in the levels of segmentation, and the length over which seasonal returns are sought. We find that the results are sensitive to each of these factors. Finally, these results are sensitive to the statistical tests employed.