This study investigates systematic monthly return regularities in the listed equity returns of twelve European property companies.? Significant monthly effects exist in all sampled countries with Germany as the single exception. Furthermore, the findings provide evidence of abnormally high...

This paper investigates the most important calendar anomalies in a market that have received very little attention by researchers. The anomalies investigated are the day of the week, turn of the month, turn of the year, and holidays. The methodology we propose allows to simultaneously...

Purpose – The purpose of this paper is to suggest a superior method for assessing mean stationarity of asset pricing effects. Design/methodology/approach – The authors suggest the use of an F-test to examine mean stationarity of asset pricing effects across subperiods. The superiority of...

Both the day of the week and the month of the year effects are examined for the Ghana Stock Exchange. The latter is an interesting case because (a) it operates for only 3 days per week during the sample period and (b) the increased focus that African stock markets have received lately from both...

The SAD effect is a calendar anomaly linked to the few length of the daylight during the autumn and the winter. In this paper we investigate the presence of this seasonal effect on the Romanian capital market. We find evidences of a significant SAD effect for an important index of the Bucharest...

In this research I examined a calendar anomaly that occurs at the beginning of each quarter. Through an examination of 34 years of daily and annual returns for the S&P500 and 13 years of returns for popular ETFs, I have demonstrated the existence of the First Day of Quarter (FDQ) effect. By...

The SAD effect is a calendar anomaly linked to the few length of the daylight during the autumn and the winter. In this paper we investigate the presence of this seasonal effect on the Romanian capital market. We find evidences of a significant SAD effect for an important index of the Bucharest...

This paper explores the presence of the turn – of – the – month effect on Bucharest Stock Exchange. We employ daily values from 2002 to 2011 of the two important indices of the Romanian capital market: BET – C and RAQ – C, composed on the stock prices of some of the biggest Romanian...

This paper investigates the calendar anomalies in the Singapore stock market over the recent period from1993-2005. Specifically, changes in stock index returns are examined surroundingJanuary (the January effect), on different days of the week (the day-of-the-week effect), around the turn of the...

This paper investigates the calendar anomalies in the Singapore stock market over the recent period from1993-2005. Specifically, changes in stock index returns are examined surroundingJanuary (the January effect), on different days of the week (the day-of-the-week effect), around the turn of the...