From T-bills to stocks: seasonal anomalies revisited

Article Abstract:

Research was conducted on 11 data series from Jan. 1926 to Dec. 1990 to examine whether the January seasonal anomalies are applicable given different economic variables. Results indicate that the January effect is strong during different states of the economy but is even more evident for small stocks, low grade bonds and default premium-B during economic expansion. However, strong summer returns are evident for small stocks, low bonds, default premium-B and equity premiums during economic contraction. Default premium-A is also evident in economic contraction during January.

Treasury Bills (+), Prices and rates, Stocks, Securities, Stock prices, Treasury securities

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A cross-sectional analysis of mutual funds' market timing and security selection skill

Article Abstract:

Security selection and market timing abilities of mutual fund managers are examined using a quadratic market model with a systematically varying parameter regression method. Factors which may influence cross-sectional variations in security selection and market timing performances are also investigated. Results show that the average portfolio managers have weak asset selection and negative market timing skills.

Analysis, Portfolio management, Market makers (Securities trading)

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Who Is Publishing? An Analysis of Finance Research Productivity in the European Region

Article Abstract:

Analysis shows that significant progress has been made by European universities in research productivity between 1990 to 1999. The article ranks a total of 219 universities and compares them to those of North America.

Europe, Colleges & Universities, Colleges, Universities, and Professional Schools, Research and Testing Services, Scientific Research and Development Services, North America, Colleges and universities, Research & Development-Universities, Universities and colleges, Comparative analysis, University research, Rankings

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