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Playing the Turn-Of-The-Year Effect with Index Futures

โœ Scribed by Ross Clark and William T. Ziemba


Book ID
123687493
Publisher
INFORMS
Year
1987
Tongue
English
Weight
538 KB
Volume
35
Category
Article
ISSN
0030-364X

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The Disappearing January/Turn of the Yea
โœ Andrew C. Szakmary; Dean B. Kiefer ๐Ÿ“‚ Article ๐Ÿ“… 2004 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 172 KB ๐Ÿ‘ 1 views

## 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