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Sustainability Indices and the Calendar Effect [PDF]
Финансы: теория и практикаThe investing landscape has undergone a significant shift. Investors are interested in stocks that not only increase shareholder wealth but also give high priority to environmental, social, and governance issues. The purpose of the study is to
K. Kalimuthu, S. Shaik
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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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The choice of time scales in survival analysis has implications: calendar time versus patients’ time-to-event [PDF]
BMC Medical Research MethodologyBackground In the EvaCoM project, a retrospective cohort study of Germany-wide health insurance data of 29607 geriatric patients with fractures, the use of different time scales led to contradicting estimates in the Cox proportional hazards model.
Judith Vilsmeier +5 more
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The significance of calendar effects in the electricity market [PDF]
Applied Energy, 2019 Abstract How to balance supply and demand has become a long-term question in the electricity market, and anomalies related to calendar issues are critical factors to affect the resource allocation. This paper introduces a test method to assess the significance of all possible calendar effects in different time frequencies.
Kun Li, Xi Liang, Mengfei Jiang
exaly +3 more sources
The Analysis of the Impact of the Holy Month of Ramadan on Risk Indicators in Pharmaceutical Companies Listed on Tehran Stock Exchange [PDF]
فصلنامه بورس اوراق بهادار, 2022 The aim of this study is to investigate the calendar effect of the holy month of Ramadan on market risk indicators in Pharmaceutical companies listed on Tehran Stock Exchange. To achieve the purpose of the research, the data of 17 Companies in the period
Abdollah Noori +2 more
doaj +1 more source
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
openaire +3 more sources
Journal of Avian Biology, 2022 Factors that influence the development of migration timing in juvenile songbirds have implications for the ability of individuals to respond positively to rapid environmental changes.
Saeedeh Bani Assadi +3 more
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Calculating risk coefficients in solvency of insurance companies using value at risk [PDF]
Iranian Journal of Insurance Research, 2013 In this article, the asset risk of insurance institutions is investigated in two sectors of investment in the stock exchange and real estate. To calculate the risk of investing in stocks, the daily data of the total price index of the Tehran Stock ...
M. Gharakhani, Z. Majedi
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Efeito Calendário e Finanças Comportamentais no Segmento de Fundos Multimercados [PDF]
RAC: Revista de Administração Contemporânea, 2015 The aim of this paper was to analyze the relationship between Mondays and the profitability provided by Brazilian hedge funds. We used a data basis composed of 3,337 hedge funds, totaling 3,529,808 observations of daily data, during the period from ...
Rodrigo Fernandes Malaquias +1 more
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Comparative Economic Research, 2019 In line with the Adaptive Market Hypothesis (AMH), the objective of this study is to investigate how the day‑of‑the‑week (DOW) effect behaves under different bull and bear market conditions in African stock markets, and to examine the likelihood of being
Adefemi A. Obalade +1 more
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