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Opposing Seasonalities in Treasury Versus Equity Returns · Study

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PreprintOpposing Seasonalities in Treasury Versus Equity Returns

Mark J. Kamstra2006

OA

Preprintgreen2006

Opposing Seasonalities in Treasury Versus Equity Returns

Mark J. Kamstra · Lisa A. Kramer · Maurice David Levi

26 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Market Dynamics and Volatility

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References

2006Investor Sentiment and the Cross‐Section of Stock Returns 1986Economic Forces and the Stock Market 2003Modeling and Forecasting Realized Volatility 1989New Indexes of Coincident and Leading Economic Indicators 1986Predicting returns in the stock and bond markets 2015A Survey of Behavioral Finance 2005The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks 2001A real-time data set for macroeconomists

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2015Seasonal Variation in Treasury Returnsarticle · 11 shared references 2005Is value riskier than growth?article · 4 shared references 2009On the Volatility and Comovement of U.S. Financial Markets around Macroeconomic News Announcementsarticle · 4 shared references 2010Comovement and Predictability Relationships Between Bonds and the Cross-Section of Stocksreport · 4 shared references 2012Comovement and Predictability Relationships Between Bonds and the Cross-section of Stocksarticle · 4 shared references 2016Momentum and downside riskarticle · 4 shared references

Details

Year2006

Typepreprint

Published2006-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations26

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.891215

openalex_workW3008645232

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