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Article: A valuation study of stock market seasonality and the size effect

TitleA valuation study of stock market seasonality and the size effect
Authors
Issue Date2010
PublisherInstitutional 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?
AbstractExisting 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 Identifierhttp://hdl.handle.net/10722/222284
ISSN
2015 Impact Factor: 0.558
2015 SCImago Journal Rankings: 0.446
ISI Accession Number ID

 

DC FieldValueLanguage
dc.contributor.authorChen, Z-
dc.contributor.authorJindra, JAN-
dc.date.accessioned2016-01-11T04:42:58Z-
dc.date.available2016-01-11T04:42:58Z-
dc.date.issued2010-
dc.identifier.citationJournal of Portfolio Management, 2010, v. 36 n. 3, p. 78-92-
dc.identifier.issn0095-4918-
dc.identifier.urihttp://hdl.handle.net/10722/222284-
dc.description.abstractExisting 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.languageeng-
dc.publisherInstitutional Investor, Journals. The Journal's web site is located at http://www.iijournals.com/JPM/-
dc.relation.ispartofJournal of Portfolio Management-
dc.titleA valuation study of stock market seasonality and the size effect-
dc.typeArticle-
dc.identifier.emailChen, Z: zchen99@hku.hk-
dc.identifier.authorityChen, Z=rp02041-
dc.identifier.doi10.3905/JPM.2010.36.3.078-
dc.identifier.scopuseid_2-s2.0-77952979001-
dc.identifier.volume36-
dc.identifier.issue3-
dc.identifier.spage78-
dc.identifier.epage92-
dc.identifier.isiWOS:000277115500008-
dc.publisher.placeUnited States-

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