This paper studies calendar effects in the emerging Athens Stock Exchange. Rather than examining only basket indices, we analyse calendar effects for each of the constituent stocks of the Athens Stock Exchange General Index for the period from October 1986 to April 1997. In accordance with...

This paper examines the predictability of size portfolio returns using a new database constructed from the London Stock Exchange for the period 1985-1995. Predictability of returns, both adjusted and unadjusted for risk, are examined and, because evidence of nonlinearity and nonnormality is...