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Testing the Significance of Calendar Effects [PDF]
SSRN Electronic Journal, 2005 Working Paper 2005-2 January 2005 Abstract: This paper studies tests of calendar effects in equity returns. It is necessary to control for all possible calendar effects to avoid spurious results. The authors contribute to the calendar effects literature and its significance with a test for calendar-specific anomalies that conditions on the nuisance of ...
Peter Reinhard Hansen +2 more
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Calendar effect and in-sample forecasting [PDF]
Insurance: Mathematics and Economics, 2021 The authors consider a generalization of the chain ladder methodology. Instead of the assumption $f(x,y) = h(x) g(y)$ the authors introduce an extended version based on the density $f(x,y) = h(x) g(y) k(x+y)$ with a so called calendar effect $k$. Two main examples are outstanding liabilities in insurance ($x$ time point of claims, $y$ time delay up to ...
Nielsen, J. P. +3 more
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Note—Analysis of Time Series with Calendar Effects [PDF]
Management Science, 1980 Most national economic data and many marketing series are compiled monthly according to the Gregorian Calendar, but some of the ancient festivals or holidays, such as Easter, Jewish Passover, and Chinese New Year, are set by lunar calendar. Therefore the date of a holiday may vary between two adjacent months from year to year.
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Calendar Effects on the Real Estate Market [PDF]
remav, 2013 Abstract Social and economic phenomena that rely on "soft" factors to explain the market reality supply highly valuable observations. Behavioral elements should not be omitted in analyses of the real estate market because the latest developments in behavioral sciences significantly contribute to our understanding of this market.
Justyna Brzezicka, Radosław Wiśniewski
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Calendar effects in Chinese stock market [PDF]
Annals of Economics and Finance, 2005 Our paper examines the calendar effects in Chinese stock market, particularly monthly and daily effects. The Shanghai Stock Exchange exhibits significantly higher monthly returns in February and November. This can be explained by the fact that the Chinese year-end is in February.
Kling, Gerhard, Gao, Lei
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Calendar effects in Latin American stock markets [PDF]
Empirical Economics, 2017 One of the most well-documented empirical regularities in international finance is the presence of calendar effects in historical stock returns. The literature focuses mainly on developed countries, and in general, emerging markets have not received much attention on this issue.
Diego Winkelried, Luis A. Iberico
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Managerial Economics, 2012 This paper examines the relationship between results of the analysis of the price momentum effect and data mining. Especially, the issue of the day of portfolio formation is considered. The analysis was carried on the basis of daily returns of stocks quoted on Warsaw Stock Exchange in 2003-2010. The evidence indicates that profitability of the momentum
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Calendar effects and crowdfunded projects
, 2021 International ...
Garel, Alexandre, Le Pendeven, Benjamin
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An anatomy of calendar effects in Thailand [PDF]
Investment Management and Financial Innovations, 2016 This paper aimed to study the interaction and profitability of the five most well-established calendar effects: Halloween effect, January effect, turn-of-the-month effect, weekend effect, and Thai holiday effect. The author found that turn-of-the-month effect (TOM) and weekend effect were the strongest and most profitable effects in Thai stock markets.
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A year’s memories: The calendar effect in autobiographical recall [PDF]
Memory & Cognition, 1998 When asked to recall autobiographical events from the past year, students tend to recall more incidents from the beginning and the end of school terms than from other periods. We investigated this calendar effect in Experiment 1 by comparing free recall at schools with different academic calendars.
M A, Kurbat, S K, Shevell, L J, Rips
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