Anatomy Of Behavioural Risk Seasonality In Equity
Table 3:
| Months/Size |
|
Big |
|
Medium |
|
Small |
|
Mean |
Std. D. |
|
Mean |
Std. D. |
|
Mean |
Std. D. |
| December |
|
0.0254 |
0.0787 |
|
-0.0145 |
0.1165 |
|
-0.0342 |
0.1521 |
| January |
|
0.0229 |
0.0896 |
|
0.0234 |
0.1091 |
|
0.0035 |
0.1494 |
| February |
|
0.0276 |
0.1124 |
|
0.0240 |
0.1052 |
|
0.0285 |
0.1833 |
| March |
|
-0.0031 |
0.0791 |
|
-0.0121 |
0.1308 |
|
-0.0211 |
0.1378 |
| April |
|
0.0146 |
0.1058 |
|
0.0288 |
0.1601 |
|
0.0018 |
0.1734 |
| May |
|
-0.0071 |
0.0845 |
|
-0.0165 |
0.1211 |
|
-0.0341 |
0.1458 |
| June |
|
-0.0027 |
0.0915 |
|
-0.0025 |
0.1358 |
|
0.0091 |
0.1434 |
| July |
|
0.0052 |
0.0924 |
|
0.0127 |
0.1183 |
|
0.0179 |
0.1268 |
| August |
|
-0.0305 |
0.1150 |
|
-0.0441 |
0.1387 |
|
-0.0494 |
0.1500 |
| September |
|
-0.0087 |
0.1154 |
|
-0.0189 |
0.1419 |
|
-0.0132 |
0.1553 |
| October |
|
0.0141 |
0.1038 |
|
-0.0041 |
0.1421 |
|
0.0001 |
0.1529 |
| November |
|
0.0022 |
0.1198 |
|
-0.0033 |
0.1596 |
|
-0.0065 |
0.2182 |
| First half of the year |
|
0.0086 |
0.0955 |
|
0.0073 |
0.1370 |
|
0.0026 |
0.1583 |
| Second half of the year |
|
0.0013 |
0.1066 |
|
-0.0120 |
0.1381 |
|
-0.0142 |
0.1631 |
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