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作者：Lakonishok, Josef; Smidt, Seymour
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; Cornell University
摘要：This study uses 90 years of daily data on the Dow Jones Industrial Average to test for the existence of persistent seasonal patterns in the rates of return. Methodological issues regarding seasonality tests are considered. We find evidence of persistently anomalous returns around the turn of the week, around the turn of the month, around the turn of the year, and around holidays.
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作者：Nachman, David C.
作者单位：University System of Georgia; Georgia Institute of Technology
摘要：The role of ordinary options in facilitating the completion of securities markets is examined in the context of a model of contingent claims sufficiently general to accommodate the continuous distributions of asset pricing theory and option pricing theory. In this context, it is shown that call options written on a single security approximately span all contingent claims written on this security and that call options written on portfolios of call options on individual primitive securities appr...
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作者：Hirshleifer, David
作者单位：University of California System; University of California Los Angeles
摘要：Trading costs, in the form either of explicit charges or of the costs of becoming informed, limit the participation of some classes of traders in commodity futures markets. When speculators face a fixed cost of participating in a futures market that is used by commodity producers to hedge their stochastic revenues, the futures risk premium deviates from the perfect markets prediction. The deviation rises in absolute value with the square root of the trading cost and with the standard deviation...
