Drivers of seasonal return patterns in German stocks

Drivers of seasonal return patterns in German stocks

Abstract Using a data set of German stocks that includes the financial crisis, this paper identifies market liquidity as the main driver of return seasonality. In comparison, the economic significance of order flow imbalance is markedly weaker. Applying panel regressions and controlling for unobserv...

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Bibliographic Details
Main Authors: Michael Weigerding, Michael Hanke
Format: Article
Language:English
Published: Springer 2018-01-01
Series:Business Research
Subjects:
Turn-of-the-month
Return seasonality
Market liquidity
Order imbalance
Online Access:http://link.springer.com/article/10.1007/s40685-017-0060-0

Internet

http://link.springer.com/article/10.1007/s40685-017-0060-0

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