US stock returns: are there seasons of excesses?

Luca Trapin, Marco Bee, Debbie J. Dupuis

Risultato della ricerca: Contributo in rivistaArticolo in rivista

4 Citazioni (Scopus)

Abstract

This article explores the existence of seasonality in the tails of stock returns. We use a parametric model to describe the returns, and obtain a proxy of the innovation distribution via a pre-processing model. Then, we develop a change-point algorithm capturing changes in the tails of the innovations. We confirm the good performance of the procedure through extensive Monte Carlo experiments. An empirical investigation using US stocks data shows that while the lower tail of the innovations is approximately constant over the year, the upper tail is larger in Winter than in Summer, in 9 out of 12 industries.
Lingua originaleEnglish
pagine (da-a)1453-1464
Numero di pagine12
RivistaQuantitative Finance
Volume16
DOI
Stato di pubblicazionePubblicato - 2016

Keywords

  • Change-point algorithm
  • Economics, Econometrics and Finance (all)2001 Economics, Econometrics and Finance (miscellaneous)
  • Extreme value theory
  • Finance
  • Financial time series
  • Seasonality

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