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Firm Heterogeneity and Calendar Anomalies [PDF]
SSRN Electronic Journal, 2011 While the calendar anomalies and financial market relationship is one of the oldest relationships in financial economics, we treat this relationship differently by addressing two unknown issues: (a) Do calendar anomalies have a heterogeneous effect on firm returns and firm volatility depending on the sectoral location of firms?
Susan Sunila Sharma +1 more
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Calendar Anomalies: Abnormal Returns at Calendar Turning Points
Financial Analysts Journal, 1988(1988). Calendar Anomalies: Abnormal Returns at Calendar Turning Points. Financial Analysts Journal: Vol. 44, No. 6, pp. 28-39.
Bruce I. Jacobs, Kenneth N. Levy
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2014
Seasonality in financial market returns is not only limited to the day of the week effect; calendar anomalies recur periodically on particular days of the month for both price dynamics and trade volumes (Pettengill and Jordan, 1988). The most important anomalies on a monthly time horizon relate to the existence of special closing days (holidays) or ...
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Seasonality in financial market returns is not only limited to the day of the week effect; calendar anomalies recur periodically on particular days of the month for both price dynamics and trade volumes (Pettengill and Jordan, 1988). The most important anomalies on a monthly time horizon relate to the existence of special closing days (holidays) or ...
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2014
The yearly seasonality of financial market returns exists in almost all countries and the difference between months is widely studied in the literature to provide useful guidelines for investment strategies (e.g., Gultekin and Gultekin, 1983). The empirical analysis of seasonality identified in any market is affected by the time horizon, the approach ...
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The yearly seasonality of financial market returns exists in almost all countries and the difference between months is widely studied in the literature to provide useful guidelines for investment strategies (e.g., Gultekin and Gultekin, 1983). The empirical analysis of seasonality identified in any market is affected by the time horizon, the approach ...
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The Nepalese Stock Market: Efficient and Calendar Anomalies [PDF]
NRB Economic Review, 2005 After describing the various forms of efficiency and calendar anomalies observed in many developed and emerging markets according to the existing literature, the present study examines this phenomenon empirically in the Nepalese stock market for daily data of Nepal Stock Exchange Index from February 1, 1995 to December 31, 2004 covering approximately ...
Fatta Bahadur K.C. Ph. D. +1 more
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Real Estate Investment Trusts and Calendar Anomalies [PDF]
Journal of Real Estate Research, 1997 There have been numerous studies in the finance literature on the existence of calendar anomalies in common stocks and a few studies of individual anomalies in the markets for real estate investmen...
Arnold L. Redman +2 more
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Calendar anomalies in REITs: international evidence
Journal of Property Investment & Finance, 2012Purpose – The purpose of this paper is to determine the relative magnitude of calendar anomalies in international Real Estate Investment Trusts (REITs). The anomalies are the prior day effect, the Monday effect, the turn‐of‐the‐month effect and the January effect. The results are based on 14 countries.
Mohammed S. Khaled, Stephen P. Keef
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Calendar Anomalies in Stock Index Futures
SSRN Electronic Journal, 2011There exist a large and increasing number of papers that describe different calendar anomalies in stock markets. Although empirical evidence suggests that seasonal effects disappeared after the early 1990s, new studies and approaches assert the continuation of some anomalies in stock indexes.
Oscar Carchano, Ángel Pardo Tornero
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American depository receipts and calendar anomalies
Applied Financial Economics, 2009This is the first study to examine the presence of calendar anomalies in American Depository Receipts (ADR) returns. Existing literature has documented several calendar anomalies in US and foreign markets. ADRs, however, represent a unique class of securities because they represent the ownership of stock of a foreign firm, but they are traded on US ...
Janie Casello Bouges +2 more
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Calendar Anomalies in the Ghana Stock Exchange
Journal of Emerging Market Finance, 2009Both the day of the week and the month of the year effects are examined for the Ghana Stock Exchange. The latter is an interesting case because (a) it operates for only 3 days per week during the sample period and (b) the increased focus that African stock markets have received lately from both academics and practitioners.
Paul Alagidede, Theodore Panagiotidis
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