Results 291 to 300 of about 14,243,072 (340)

The Size Effect Is Alive and Well, and Hiding behind Calendar Anomalies

Journal of Portfolio Management, 2019
Empirical evidence from the literature documents that the size effect has gradually diminished since the early 1980s. In this article, the authors examine the stability of this anomaly between 1926 and 2014.
D. Y. Aharon, Mahmoud Qadan
semanticscholar   +1 more source

DYNAMICAL ESTIMATION OF CALENDAR EFFECTS

Fluctuation and Noise Letters, 2006
The paper introduces a method for estimation and reduction of calendar effects from time series, which their fluctuations are governed by a nonlinear dynamical system and additive normal noise. Calendar effects can be considered deviations of the distribution(s) of particular group(s) of observations that have a common characteristic related to the ...
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Testing the significance of calendar effects [PDF]

, 2003
When evaluating the significance of calendar effects, such as those associated with Monday and January, it is necessary to control for all possible calendar effects to avoid spurious results. The downside of having to control for a large number of possible calendar effects is that it diminish the power and makes it harder to detect real anomalies. This
Peter Hansen, Asger Lunde
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Calendar Effects on the Amsterdam Stock Exchange

De Economist, 2003
For daily data on a value-weighted index of all shares in the Netherlands (1981-1998), we find abnormally high returns in the pre-Christmas period of the second half of December and around the turn of the month, whereas returns are negative and volatility is relatively high on the Mondays where the previous week's return is below zero. Furthermore, our
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Calendar effects in daily ATM withdrawals [PDF]

Economics Bulletin, 2010
This paper analyses the calendar effects present in Automated Teller Machines (ATM) withdrawals of residents, using daily data for Portugal for the period from January 1st 2001 to December 31st 2008. The results presented may allow for a better understanding of consumer habits and for adjusting the original series for calendar effects.
Paulo Rodrigues, Paulo Esteves
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Calendar effects of the Chinese stock markets

International Journal of Business and Emerging Markets, 2013
Drawing upon extant literature on the impact of calendar effects (daily effect and monthly effect) on the stock markets, the authors employ regression analysis to test the relationship between mean daily returns of trading days and mean returns of the remaining trading days of the week (in effect, calendar effects), on the Chinese stock markets.
Jaw Kai Wang, Udechukwu Ojiako, Ling Wang   +2 more
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Calendar Effects in the Analysis of Seasonal Data

American Journal of Epidemiology, 1994
A variety of statistical methods exist for analyzing seasonal patterns in epidemiologic data. As a simplification in the calculations, these methods often do not explicitly take into account certain calendar effects, such as the variation in month length, the irregular number of weekend days in each month, and the occurrence of holidays.
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Calendar and reverse calendar effects: Time peaks in memory as a function of temporal cues

Memory, 2005
Prior research on autobiographical memory revealed that students typically report more memories from semester boundaries than from other times. Explanations for these calendar effects were examined in two experiments. In Experiment 1, temporal cues were eliminated from the memory cueing task, and an opposite outcome obtained: a greater amount of ...
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Calendar effects in monthly time series models

Journal of Systems Science and Systems Engineering, 2005
It is not unusual for the level of a monthly economic time series, such as industrial production, retail and wholesale sales, monetary aggregates, telephone calls or road accidents, to be influenced by calendar effects. Such effects arise when changes occur in the level of activity resulting from differences in the composition of calendar between years.
Gerhard Thury, Mi Zhou
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Calendar Anomalies:Daylights Savings Effect

2005
Academics and practioners analysed equity returns, trying to link anomalous returns with a recurring period of time, this bore a new research area: the so called calendar anomalies, where we should mean as an anomaly any such event that could not be explained using the efficient market theory, or any other ordinary theory prevailing in finance ...
BOIDO, CLAUDIO, FASANO A.
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