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Book-to-market, firm size, and the turn-of-the-year effect: Evidence from Pacific-Basin emerging markets

โœ Scribed by Andy C.W. Chui; K.C.John Wei

Book ID
117628040
Publisher
Elsevier Science
Year
1998
Tongue
English
Weight
103 KB
Volume
6
Category
Article
ISSN
0927-538X

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## Abstract This study examines the returns, relative to the S&P 500, on cash indices and futures tracking smaller stocks around the turn of the year. While we control for volatility clustering, return autocorrelation in small stock indices, and other calendar effects, our main focus is the evoluti