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Proceedings Paper

Seasonality, size effect, and delisting bias
Author(s): Qi Zeng; Xiao Cao
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Paper Abstract

We study the seasonality pattern of stock returns within the year. We found that while overall the size premium is small after adjusting for delisting bias, the January returns are still larger than returns from remaining months and it is more significant for small sized companies. This obvious conflict is caused by the consistent negative returns around September, October and November. And the absolute value for small sized companies during these months are larger than large size companies. Extending to different time period and using different delisting returns do not change this pattern. We argue that demand pressure cause the results.

Paper Details

Date Published: 5 January 2008
PDF: 12 pages
Proc. SPIE 6802, Complex Systems II, 68021G (5 January 2008); doi: 10.1117/12.785230
Show Author Affiliations
Qi Zeng, Univ. of Melbourne (Australia)
Xiao Cao, Univ. of Melbourne (Australia)

Published in SPIE Proceedings Vol. 6802:
Complex Systems II
Derek Abbott; Tomaso Aste; Murray Batchelor; Robert Dewar; Tiziana Di Matteo; Tony Guttmann, Editor(s)

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