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- Publisher Website: 10.3905/JPM.2010.36.3.078
- Scopus: eid_2-s2.0-77952979001
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Article: A valuation study of stock market seasonality and the size effect
Title | A valuation study of stock market seasonality and the size effect |
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Authors | |
Issue Date | 2010 |
Publisher | Institutional Investor, Journals. The Journal's web site is located at http://www.iijournals.com/JPM/ |
Citation | Journal of Portfolio Management, 2010, v. 36 n. 3, p. 78-92 How to Cite? |
Abstract | Existing studies on market seasonality and the size effect are largely based on realized returns. In this article, Chen and Jindra investigate seasonal variations and size-related differences in a cross-stock valuation distribution.They use three stock valuation measures, two derived from structural models and one from the book-to-market ratio. The authors find that the average valuation level is highest in mid-summer and lowest in mid-December. Furthermore, the valuation dispersion (kurtosis) across stocks increases toward year-end and reverses direction after the turn of the year, suggesting increased movements in both the underand overvaluation directions. Among size groups, small-cap stocks exhibit the sharpest decline in valuation from June to December and the highest rise from December to January. For most months, small-cap stocks have the lowest valuation among all size groups and show the widest cross-stock valuation dispersion, meaning that they are also the hardest to value. Overall, large-cap stocks enjoy the highest valuation uniformity and are the least subject to valuation seasonality. |
Persistent Identifier | http://hdl.handle.net/10722/222284 |
ISSN | 2021 Impact Factor: 1.530 2020 SCImago Journal Rankings: 0.914 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Chen, Z | - |
dc.contributor.author | Jindra, JAN | - |
dc.date.accessioned | 2016-01-11T04:42:58Z | - |
dc.date.available | 2016-01-11T04:42:58Z | - |
dc.date.issued | 2010 | - |
dc.identifier.citation | Journal of Portfolio Management, 2010, v. 36 n. 3, p. 78-92 | - |
dc.identifier.issn | 0095-4918 | - |
dc.identifier.uri | http://hdl.handle.net/10722/222284 | - |
dc.description.abstract | Existing studies on market seasonality and the size effect are largely based on realized returns. In this article, Chen and Jindra investigate seasonal variations and size-related differences in a cross-stock valuation distribution.They use three stock valuation measures, two derived from structural models and one from the book-to-market ratio. The authors find that the average valuation level is highest in mid-summer and lowest in mid-December. Furthermore, the valuation dispersion (kurtosis) across stocks increases toward year-end and reverses direction after the turn of the year, suggesting increased movements in both the underand overvaluation directions. Among size groups, small-cap stocks exhibit the sharpest decline in valuation from June to December and the highest rise from December to January. For most months, small-cap stocks have the lowest valuation among all size groups and show the widest cross-stock valuation dispersion, meaning that they are also the hardest to value. Overall, large-cap stocks enjoy the highest valuation uniformity and are the least subject to valuation seasonality. | - |
dc.language | eng | - |
dc.publisher | Institutional Investor, Journals. The Journal's web site is located at http://www.iijournals.com/JPM/ | - |
dc.relation.ispartof | Journal of Portfolio Management | - |
dc.title | A valuation study of stock market seasonality and the size effect | - |
dc.type | Article | - |
dc.identifier.email | Chen, Z: zchen99@hku.hk | - |
dc.identifier.authority | Chen, Z=rp02041 | - |
dc.identifier.doi | 10.3905/JPM.2010.36.3.078 | - |
dc.identifier.scopus | eid_2-s2.0-77952979001 | - |
dc.identifier.volume | 36 | - |
dc.identifier.issue | 3 | - |
dc.identifier.spage | 78 | - |
dc.identifier.epage | 92 | - |
dc.identifier.isi | WOS:000277115500008 | - |
dc.publisher.place | United States | - |
dc.identifier.issnl | 0095-4918 | - |