{"id":"https://openalex.org/W2108283899","doi":"https://doi.org/10.2307/2330299","title":"Capital Market Seasonality: The Case of Bond Returns","display_name":"Capital Market Seasonality: The Case of Bond Returns","publication_year":1979,"publication_date":"1979-12-01","ids":{"openalex":"https://openalex.org/W2108283899","doi":"https://doi.org/10.2307/2330299","mag":"2108283899"},"language":"en","primary_location":{"id":"doi:10.2307/2330299","doi":"https://doi.org/10.2307/2330299","is_oa":false,"landing_page_url":"https://doi.org/10.2307/2330299","pdf_url":null,"source":{"id":"https://openalex.org/S193228710","display_name":"Journal of Financial and Quantitative Analysis","issn_l":"0022-1090","issn":["0022-1090","1756-6916"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-1","ft50","jufo-3","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310311721","host_organization_name":"Cambridge University Press","host_organization_lineage":["https://openalex.org/P4310311721","https://openalex.org/P4310311702"],"host_organization_lineage_names":["Cambridge University Press","University of Cambridge"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Journal of Financial and Quantitative Analysis","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5065888483","display_name":"Thomas Schneeweis","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I33434090","display_name":"University of Massachusetts Boston","ror":"https://ror.org/04ydmy275","country_code":"US","type":"education","lineage":["https://openalex.org/I33434090"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Thomas Schneeweis","raw_affiliation_strings":["[University of Massachusetts, Boston]"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"[University of Massachusetts, Boston]","institution_ids":["https://openalex.org/I33434090"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5072602541","display_name":"J. Randall Woolridge","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"J. Randall Woolridge","raw_affiliation_strings":["Finance"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Finance","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":{"value":3550,"currency":"USD","value_usd":3550},"apc_paid":null,"fwci":1.3618,"has_fulltext":false,"cited_by_count":53,"citation_normalized_percentile":{"value":0.85444397,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":87,"max":97},"biblio":{"volume":"14","issue":"5","first_page":"939","last_page":"939"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":1.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":1.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12123","display_name":"Financial Analysis and Corporate Governance","score":0.0,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/bond-returns","display_name":"bond returns","score":0.9700000286102295},{"id":"https://openalex.org/keywords/market-efficiency","display_name":"market efficiency","score":0.9919999837875366},{"id":"https://openalex.org/keywords/time-series-stationarity","display_name":"time series stationarity","score":0.5379999876022339},{"id":"https://openalex.org/keywords/return-model","display_name":"return model","score":0.40299999713897705}],"concepts":[{"id":"https://openalex.org/C125403950","wikidata":"https://www.wikidata.org/wiki/Q2111082","display_name":"Seasonality","level":2,"score":0.7620681524276733},{"id":"https://openalex.org/C69738904","wikidata":"https://www.wikidata.org/wiki/Q11693","display_name":"Bond","level":2,"score":0.5787146687507629},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.518269956111908},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.40899717807769775},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.35261619091033936},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.32021772861480713},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.22623929381370544},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.13611149787902832},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.06220686435699463}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.2307/2330299","doi":"https://doi.org/10.2307/2330299","is_oa":false,"landing_page_url":"https://doi.org/10.2307/2330299","pdf_url":null,"source":{"id":"https://openalex.org/S193228710","display_name":"Journal of Financial and Quantitative Analysis","issn_l":"0022-1090","issn":["0022-1090","1756-6916"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-1","ft50","jufo-3","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310311721","host_organization_name":"Cambridge University Press","host_organization_lineage":["https://openalex.org/P4310311721","https://openalex.org/P4310311702"],"host_organization_lineage_names":["Cambridge University Press","University of Cambridge"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Journal of Financial and Quantitative Analysis","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:cup:jfinqa:v:14:y:1979:i:05:p:939-958_00","doi":null,"is_oa":false,"landing_page_url":"https://www.cambridge.org/core/product/identifier/S0022109000005901/type/journal_article","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":14,"referenced_works":["https://openalex.org/W103650626","https://openalex.org/W1486185089","https://openalex.org/W1507536611","https://openalex.org/W1591066745","https://openalex.org/W1984948669","https://openalex.org/W1986962234","https://openalex.org/W2000683543","https://openalex.org/W2044527319","https://openalex.org/W2054249884","https://openalex.org/W2062431356","https://openalex.org/W2090416739","https://openalex.org/W2103096761","https://openalex.org/W3015302834","https://openalex.org/W4285719527"],"related_works":["https://openalex.org/W2265657526","https://openalex.org/W2060242526","https://openalex.org/W6982661869","https://openalex.org/W1984948669","https://openalex.org/W967259486","https://openalex.org/W287722924","https://openalex.org/W1532170725","https://openalex.org/W2082475262","https://openalex.org/W2606908296","https://openalex.org/W2078308788"],"abstract_inverted_index":{"The":[0,23,58],"existence":[1,24],"of":[2,7,15,25,33,55,60,83,109,125],"seasonality":[3,121,129,186],"in":[4,77,88,112,130,172,187],"security":[5],"rates":[6],"return":[8,21,47,74,120],"has":[9],"implications":[10],"for":[11,119],"both":[12],"the":[13,117,123,145],"study":[14],"market":[16,34,67,80,126],"efficiency":[17,170],"and":[18,163],"tests":[19],"involving":[20],"models.":[22],"seasonal":[26,46,61,73,85,97,110],"asset":[27,49,54,131,150],"returns":[28,132,136,151],"may":[29,75,152],"be":[30,177],"an":[31,37,48,71,78],"indicator":[32],"inefficiencies.":[35],"In":[36],"efficient":[38,79],"market,":[39],"investor":[40],"arbitrage":[41],"should":[42],"remove":[43],"any":[44],"excess":[45],"receives":[50],"over":[51],"a":[52,140],"comparable":[53],"equal":[56],"risk.":[57],"presence":[59],"returns,":[62],"however,":[63],"does":[64],"not":[65,138],"necessitate":[66],"inefficiency.":[68],"For":[69,160],"example,":[70],"expected":[72],"exist":[76],"simply":[81],"because":[82],"anticipated":[84],"patterns":[86],"embedded":[87],"its":[89],"underlying":[90],"determinants.":[91],"Tax":[92],"regulations,":[93],"government":[94],"monetary":[95],"policy,":[96],"information":[98,155],"lags,":[99],"or":[100,122],"risk":[101],"adjustments":[102],"have":[103,166],"all":[104],"been":[105],"advanced":[106],"as":[107],"determinants":[108],"movements":[111],"return.":[113],"No":[114],"matter":[115],"what":[116],"basis":[118],"extent":[124],"efficiency,":[127],"if":[128],"exists,":[133],"then":[134],"these":[135],"do":[137],"follow":[139],"strict":[141],"stationary":[142],"process":[143],"within":[144],"year.":[146],"Statistical":[147],"models":[148],"analyzing":[149],"use":[153],"this":[154],"to":[156],"improve":[157],"model":[158],"specification.":[159],"instance,":[161],"Kinney":[162],"Rozeff":[164],"[16]":[165],"shown":[167],"that":[168],"large":[169],"gains":[171],"estimating":[173],"portfolio":[174],"betas":[175],"can":[176],"achieved":[178],"using":[179],"time":[180],"stratified":[181],"estimates":[182],"which":[183],"explicitly":[184],"incorporate":[185],"4":[188],"stock":[189],"returns.":[190]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":2},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":3},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":4},{"year":2013,"cited_by_count":1},{"year":2012,"cited_by_count":1}],"updated_date":"2026-11-07T11:25:07.637180","created_date":"2016-06-24T00:00:00"}