Results 281 to 290 of about 1,256,874 (342)

Seasonal Anomalies

SSRN Electronic Journal, 2011
W. Ziemba, Constantine Dzhabarov
semanticscholar   +2 more sources

Seasonal Anomalies in Financial Markets: A Survey

, 1989
Investigation into the patterns of returns in the stock market is extensive. This paper reviews and integrates much of the published research in this broad area. Some concern for data snooping and the reporting of noise exists over empirical anomaly research. Yet this does not account for the careful research findings of many authors. The over reaction
D. Ikenberry, Josef Lakonishok
semanticscholar   +2 more sources

Harvesting the seasons of the size anomaly

Journal of Asset Management, 2022
This paper employs the DSN portfolio sorting procedure introduced by Lambert et al. (J Banking Finance 114:105811, 2020) to factor size characteristics into returns. The US size anomaly boils then down to a pure seasonal effect, fully supporting the “tax-loss-pruning” hypothesis.
Fays, Boris, Hübner, Georges, Lambert, Marie   +2 more
openaire   +1 more source

Seasonal Effects and Other Anomalies

SSRN Electronic Journal, 2018
We revisit a series of popular anomalies: seasonal, announcement and momentum. We comment on statistical significance and persistence of these effects and propose useful investment strategies to incorporate this information. We investigate the creation of a seasonal anomaly and trend model composed of the Sell in May (SIM), Turn of the Month (TOM ...
Blair Hull, Petra Bakosova, Alexander Kment   +2 more
openaire   +1 more source

Seasonal, Size and Value Anomalies

SSRN Electronic Journal, 2005
Recent international evidence shows that in many stock markets, general index returns are significantly higher during winter months than during summer months. We study the interaction between this anomaly - known as the Halloween effect - and the January effect and other well-known anomalous findings on portfolios formed on Size, Dividend Yield, Book ...
Ben Jacobsen, Abdullah Mamun, Nuttawat Visaltanachoti   +2 more
openaire   +1 more source

Analyzing seasonal anomalies for Israel: evidence from pre- and post-global financial crisis

, 2019
The purpose of this paper is to analyze different seasonal anomalies for the Israeli securities markets for the pre- and post-global financial crisis periods.,The closing values of six indices of the Tel Aviv Stock Exchange (TASE) of Israel have been ...
Dinesh Jaisinghani, Muskan Kaur, Mohd Merajuddin Inamdar   +2 more
semanticscholar   +1 more source

Eye Anomalies

Epidemiology, 2005
Eye anomalies, including anophthalmos and microphthalmos (absent eye and small eye), are common features in congenital infection syndromes such as rubella. Influenza, Coxsackie virus, and Parvovirus are less well-established teratogens. We report an ecologic analysis of anophthalmia/microphthalmia prevalence in England in relation to temporal variation
Araceli, Busby, Helen, Dolk, Ben, Armstrong   +2 more
openaire   +2 more sources

Seasonalities in Anomalies

SSRN Electronic Journal, 2015
I investigate seasonalities in a set of well-known anomalies in the cross-section of U.S. stock returns. A January seasonality goes beyond a size effect and strongly affects most anomalies, which can even switch sign in January. Return seasonality exists outside of January depending on the month of the quarter. Small stocks earn abnormally high average
openaire   +1 more source

Seasonal instability of Pacific sea-surface-temperature anomalies

Quarterly Journal of the Royal Meteorological Society, 1997
Abstract The main purpose of this study is to reveal the instability of sea‐surface‐temperature (SST) anomalies in connection with the ‘predictability barrier’ of El Niño established by Webster and Yang. the characteristics of linear instability of Pacific SST anomalies are computed using monthly COADS data and the method of Lyapunov ...
V. V. Efimov, A. V. Prusov, M. V. Shokurov   +2 more
openaire   +1 more source

Anomalies, risk adjustment and seasonality: Australian evidence

International Review of Financial Analysis, 2014
On the basis of raw return analysis, economically significant anomalies appear to exist in relation to the size, momentum, book-to-market and profitability of Australian firms. However, characteristic-sorted portfolios are shown to load in very particular ways on multiple risk factors.
Zhong, Anqi, Limkriangkrai, Manapon, Gray, Philip   +2 more
openaire   +3 more sources