کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5075535 | 1373919 | 2009 | 13 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The impact of portfolio aggregation on day-of-the-week effect: Evidence from Finland
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
کسب و کار و مدیریت بین المللی
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چکیده انگلیسی
This paper revisits the day-of-the-week anomaly discussion from a portfolio aggregation point of view. Using different levels of portfolio aggregation: market, industry and company levels, it is possible to partly trace the aggregation level of the effect of the factors driving the day-of-the-week anomaly. The effect of portfolio aggregation is measured using a conditional modeling approach. Overall, the results indicate more pronounced day-of-the-week structures in the conditional volatility than in the mean returns and considerably more day-of-the-week structures during the post-euro period. For this period the results indicate that the day-of-the-week effect in the mean is partly a common Finnish market characteristic whereas the day-of-the-week effect in the volatility is found on the industry level of portfolio aggregation.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Global Finance Journal - Volume 20, Issue 1, 2009, Pages 67-79
Journal: Global Finance Journal - Volume 20, Issue 1, 2009, Pages 67-79
نویسندگان
Kenneth Högholm, Johan Knif,