Title:

Is There Seasonality in Traded and Non-traded Period Returns in the US Equity Market? A Multiple Structural Change Approach

Authors:

Joao Dionisio Monteiro (U Beira Interior)
José Luis Miralles Quirós (U Extremadura)
Jose P. Manso (U Beira Interior)

Journal:

Finance A Uver

Year:

2018

Volume:

68

Number:

1

Pages:

71-98

JEL codes:

G11 - Portfolio Choice; Investment Decisions
G12 - Asset Pricing; Trading volume; Bond Interest Rates
G14 - Information and Market Efficiency; Event Studies