TY  - GEN 
AU  - Agnani, Betty
AU  - Aray, Henry
PY  - 2007
UR  - http://hdl.handle.net/10481/31500
AB  - Using a Markov regime switching model, this article presents evidence on the well-known January effect on stock returns. The specification allows a distinction to be drawn between two regimes, one with high volatility and other with low volatility. We...
LA  - eng
PB  - Universidad de Granada. Departamento de Teoría e Historia Económica
KW  - Markov switching model
KW  - Stock returns
KW  - Seasonality
KW  - Size portfolios
TI  - The january effect across volatility regimes
ER  -