Seasonality in the cross section of stock returns: Advanced markets versus emerging markets
(2018)
Journal Article
Li, F., Zhang, H., & Zheng, D. (2018). Seasonality in the cross section of stock returns: Advanced markets versus emerging markets. Journal of Empirical Finance, 49, 263-281. https://doi.org/10.1016/j.jempfin.2018.11.001
We extend the studies of stock return seasonality by Heston and Sadka (2008, 2010) to a comprehensive sample of 42 international markets, including 21 advanced markets and 21 emerging markets. The empirical results show a large variation in stock sea... Read More about Seasonality in the cross section of stock returns: Advanced markets versus emerging markets.