Khaksari, Shahriar; Bubnys, Edward L - In: The Financial Review 27 (1992) 4, pp. 531-52
This study uses risk-adjusted returns based on the Sharpe Performance Measure to evaluate the presence of three anomalies in two stock index futures, the futures of a smaller firm synthetic index, and their respective underlying spot indexes. The three anomalies are the day-of-the-week, the...