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Momentum and calendar effects [PDF]
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.
Tomasz Wojtowicz
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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 +5 more sources
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
doaj +2 more sources
Adjusting for calendar effects of real retail trade turnover time series [PDF]
Croatian Operational Research Review, 2015 Fluctuations in economic activity are often influenced by calendar-based various factors. Such factors are non-working (non-trading) days, leap years, public holidays and the like.
Josip Arnerić +2 more
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Calendar effects of the Colombo stock market [PDF]
Journal of Management, 2015 This study examines the calendar effects specially day of the week effects and month of the year effects in the Colombo stock market. The study on the day of the week effect was done based on daily all share price index (ASPI) for the period January 2004 to June 2015 and the study on the month of the year effect employs based on monthly ASPI for the ...
Jahfer, A.
openaire +4 more sources
Calendar Effects and Seasonality on Returns and Volatility [PDF]
SSRN Electronic Journal, 2009 This study examines the calendar effects in 55 Stock market exchange indices around the globe. The effects which are examined are the turn-of-the-Month effect, day-of-the-Week effect, Month-of the-Year effect and semi-Month effect. The methodology followed is the test hypothesis with bootstrap simulated t-statistics.
Giovanis, Eleftherios
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ANALYSIS OF CALENDAR EFFECTS IN MARKETS OF PRECIOUS METALS [PDF]
Quantitative Methods in Economics, 2014 Calendar effects are anomalies in the behavior of asset prices that may disprove the efficient market hypothesis. The well recognized are: day_x0002_of-the-week effect, month-of-the-year effect, holidays effect and turn-of-the_x0002_month effect.
Monika Krawiec, Anna Górska
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Calendar Effects In The Indian Stock Market [PDF]
International Business & Economics Research Journal (IBER), 2011 We find two distinct calendar effects in returns for the Indian stock market. More specifically, we find a November-December effect in which we document that mean returns for November and December are significantly greater than those of the other ten months.
Patel, Jayen B.
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Measuring the asymmetry information risk of trading symbols of insurance companies in the Tehran Stock Exchange based on the probability of informed trading (PIN) criteria and survey the calendar effects and fixed firm’s effects on information asymmetry indices [PDF]
فصلنامه بورس اوراق بهادار, 2021 The objective of this research are to measure risk of information asymmetry between market participants in trading active symbols of insurance companies in Tehran-Stock-Exchange through probability of informed trading (PIN) criteria per trading day, and ...
Mohammad Mirbagherijam +1 more
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