John E. Anderson Graduate School of Management of the University of California at Los Angeles. Some of the results presented here were earlier reported in a working paper titled “On Testing for Slowly Decaying Components in Stock Prices.” I would like to thank Julian Franks, David Hirshleifer, James Poterba, Richard Roll, René Stulz (the Managing Editor), Lawrence Summers, Sheridan Titman, an anonymous referee, and the participants of the Finance Workshop at the University of California at Berkeley for helpful comments and Jim Brandon for excellent research assistance. I would also like to gratefully acknowledge a research grant from the UCLA Academic Senate. The usual disclaimer applies.
Seasonality in Stock Price Mean Reversion: Evidence from the U.S. and the U.K.
Article first published online: 30 APR 2012
1991 The American Finance Association
The Journal of Finance
Volume 46, Issue 4, pages 1427–1444, September 1991
How to Cite
JEGADEESH, N. (1991), Seasonality in Stock Price Mean Reversion: Evidence from the U.S. and the U.K. The Journal of Finance, 46: 1427–1444. doi: 10.1111/j.1540-6261.1991.tb04624.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
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