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Common stock returns in the pre-WWI Berlin Stock Exchange

✍ Scribed by Caroline Fohlin; Steffen Reinhold


Book ID
107474716
Publisher
Springer-Verlag
Year
2009
Tongue
English
Weight
500 KB
Volume
4
Category
Article
ISSN
1863-2505

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Month of the year effect and January eff
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## Abstract This paper investigates seasonal anomalies in the mean stock returns of Germany, the UK and the US during pre‐World War I (WWI) period. The anomalies studied are month of the year effect and the January effect. The empirical research is conducted using a non‐linear GARCH‐__t__ model, an