Appendix to Accompany “ Winter Blues : A SAD Stock Market Cycle ”
نویسندگان
چکیده
In this Appendix, we provide the entire set of additional robustness checks mentioned throughout, but not included within, the original paper. The order in which the tables are presented corresponds to the order in which the results are mentioned in the original paper, with the exception of the table containing returns to various trading strategies, Table A10, which appears last and has its own notes. Notes to Tables A1-A9: There are multiple parts and multiple pages to each table. In all cases, figures in parentheses are robust standard errors. Estimates marked with one, two, or three asterisks are significant at the 10 percent, 5 percent, or 1 percent level respectively. In Panel B of Table A3, we report the value of the log-likelihood function, the p-value from a χ2 test for autoregressive conditional heteroskedasticity (ARCH) up to 10 lags, and the p-value from a χ2 test for residual autocorrelation up to 10 lags. In Panel B of other tables we report the R2 for each regression as well as the p-value from a χ2 test for residual autocorrelation up to 10 lags. (Note that for some small-cap or equal-weighted indices, we were unable to eliminate evidence of residual autocorrelation with the simple model specifications adopted here. Likewise, with the maximum likelihood estimation, for some indices we were unable to eliminate evidence of ARCH or residual autocorrelation over the full samples.)
منابع مشابه
Winter blues and time variation in the price of risk
Previous research has documented robust links between seasonal variation in length of day, seasonal depression (known as seasonal affective disorder, or SAD), risk aversion, and stock market returns. The influence of SAD onmarket returns, known as the SAD effect, is large. We study the SAD effect in the context of an equilibrium asset pricing model to determine whether the seasonality can be ex...
متن کاملSeasonal affective disorder (SAD)?
Every winter, especially when the days are short, I feel tired, depressed, and unproductive. Then the spring comes and I start feeling myself again. Is this just a normal seasonal cycle? I've heard about SAD, Seasonal Affective Disorder, but don't know much about it. Answer Dear Melancholy Baby, Somebody must've been feeling a bit clever when they christened the wintertime blues with the acrony...
متن کاملSeasonal Affective Disorder: An Overview of Assessment and Treatment Approaches
Seasonal affective disorder or SAD is a recurrent major depressive disorder with a seasonal pattern usually beginning in fall and continuing into winter months. A subsyndromal type of SAD, or S-SAD, is commonly known as "winter blues." Less often, SAD causes depression in the spring or early summer. Symptoms center on sad mood and low energy. Those most at risk are female, are younger, live far...
متن کاملINVENTORY MODEL FOR DETERIORATING ITEMS WITH REVENUE SHARING ON PRESERVATION TECHNOLOGY INVESTMENT UNDER PRICE SENSITIVE STOCK DEPENDENT DEMAND
The objective of this research is to tackle the emerging problem of jointly determining theoptimal retail price, the replenishment cycle, and the cost of preservation technology investment from an integrated perspective among the supplier and the manufacturer. This paper deals an integrated single-manufacturer single-retailer supply chain model for deteriorating items under revenue sharing on p...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2003