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Is the 'Quarter of Birth' Endogenous? Evidence from One Million Siblings in Taiwan

Fan, Elliott - 2014

Recent studies based on US data have provided evidence to suggest that the 'quarter of birth' (QOB) may be endogenous and that the use of QOB as an instrumental variable will consequently produce inconsistent estimates (see Buckles and Hungerman, 2013). Such potential endogeneity is addressed in...

Persistent link: https://www.econbiz.de/10013048103

Sundays are blue : aren't they? ; the day-of-the-week effect on subjective well-being and socio-economic status

Akay, Alpaslan; Martinsson, Peter - 2009

This paper analyses whether individuals are influenced by the day of the week when reporting subjective well-being. By using a large panel data set and controlling for observed and unobserved individual characteristics, we find a large day-of the-week effect. Overall, we find a 'blue' Sunday...

Persistent link: https://www.econbiz.de/10003918937

Improved calendar time approach for measuring long-run anomalies

Dutta, Anupam - In: Cogent economics & finance 3 (2015) 1, pp. 1-14

time portfolio approach to investigate the long-run anomalies, each of the methods is a subject to criticisms. In this … paper, we show that a recently introduced calendar time methodology, known as Standardized Calendar Time Approach (SCTA …), controls well for heteroscedasticity problem which occurs in calendar time methodology due to varying portfolio compositions …

Persistent link: https://www.econbiz.de/10011449859

Washington meets Wall Street : a closer examination of the presidential cycle puzzle

Kräussl, Roman; Lucas, André; Rijsbergen, D.; Sluis, … - 2009

This paper tests the policitcal dimensions of the presidential cycle effect in U.S. financial markets. The presidential cycle effect states that average stock market returns are significantly higher in the last two years compared to the first two years of a presidential term. We confirm the...

Persistent link: https://www.econbiz.de/10011377245

The evolution and cross-section of the day-of-the-week effect

Zilca, Shlomo - In: Financial innovation : FIN 3 (2017) 29, pp. 1-12

We study the day-of-the-week effect across size deciles and in three 18-year subperiods. The results show a decline in the magnitude of the day-of-the-week effect, but the effect did not vanish. We find that the decline in the magnitude of the effect is larger in the larger market capitalization...

Persistent link: https://www.econbiz.de/10011772243

Day-of-the-week returns and mood : an exterior template approach

Zilca, Shlomo - In: Financial innovation : FIN 3 (2017) 30, pp. 1-21

-of-the-week effect has declined over time. That decline, however, is not uniform across size deciles and is more pronounced in larger …

Persistent link: https://www.econbiz.de/10011772257

The effectiveness of seasonal investments in European Share Portfolios

Heidorn, Thomas; Maier, F.; Winker, M. - 2017

In this paper, calendar seasonality patterns are examined from day-of-the-week effect across weekly patterns, monthly analysis and whole-year seasonal strategies such as Sell in May and Halloween effect. The analysis is done across six indices, DAX, MDAX, SDAX, Eurostoxx 50, Stoxx Europe Mid 200...

Persistent link: https://www.econbiz.de/10011592704

Calendar anomalies in the Ukrainian stock market

Caporale, Guglielmo Maria; Plastun, Alex - 2016

Persistent link: https://www.econbiz.de/10011536650

Calendar anomalies in the Ukrainian stock market

Caporale, Guglielmo Maria; Plastun, Alex - 2016

This paper is a comprehensive investigation of calendar anomalies in the Ukrainian stock market. It employs various statistical techniques (average analysis, Student's t-test, ANOVA, the Kruskal-Wallis test, and regression analysis with dummy variables) and a trading simulation approach to test...

Persistent link: https://www.econbiz.de/10011456764

Calendar anomalies in the Ukrainian stock market

Caporale, Guglielmo Maria; Plastun, Alex - 2016

Persistent link: https://www.econbiz.de/10011458018