Three Essays on Stock Market Seasonality

Three Essays on Stock Market Seasonality

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In chapter 3, we establish the presence of seasonality in the cash flows to the U.S. domestic mutual funds. January is the month with the highest net cash flows to equity funds and December is the month with the lowest net cash flows. The large net flows in January are attributed to the increased purchases, and the small net flows in December are due to the increased redemptions. Thus, the turn-of-the-year period is the time when most mutual fund investors make their investment decisions. We offer the possible sources for the seasonality in mutual funds flows.Table 1.6 reports the seasonality test of style portfolio returns in the major stock markets. We run the OLS regression model in equation (1) for the twelve style portfolio returns in Germany, Japan, the U.K., and the U.S. With the restriction that foranbsp;...

Title:Three Essays on Stock Market Seasonality
Author:Hyung-Suk Choi
Publisher:ProQuest - 2008


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