Long-short anomaly returns are strongly related to the day of the week. Anomalies for which the speculative leg is the short (long) leg experience the highest (lowest) returns on Monday. The opposite pattern is observed on Fridays. The effects are large; Monday (Friday) alone accounts for over...

This paper investigates whether seasonalities in daily stock returns are related to the trading behavior of individual and institutional investors. The change in the investor structure of B-share markets in Shanghai and Shenzhen after the abolition of ownership restrictions in 2001 provides a...

Motivated by the literature on investment flows and optimal trading, we examine intraday predictability in the cross-section of stock returns. We find a striking pattern of return continuation at half-hour intervals that are exact multiples of a trading day, and this effect lasts for at least 40...

We calculate the returns for four well-known equity factor returns, the market, size, value, and momentum, for each Zodiac calendar year from 1926 to 2015. We find that point estimates of average returns for each Zodiac sign can be substantially different. However, when we employ statistical...

The well-known stock market adage "sell in May and go away" arose from long-term stock market seasonality in major financial markets around the globe. Kamastra, Kramer and Levy (2003) present evidence that Seasonal Affective Disorder causes this seasonality, as this condition has a profound...

A predictable pattern of stock market return is the violation of the efficient market hypothesis (EMH). It is well studied and evident in financial literature that stock markets around the world have predictable patterns, e.g. calendar effect, behavioural effect, and Religious festival effect....

As literature shows, market anomalies in their various forms exist in different markets around the globe. Evidence of seasonality of returns in any form, whether based on time period such as over specific days, weeks and months, or over size, such as large, medium or small or over different...

The ancient Chinese Almanac lists days that are (in)auspicious for certain actions or events. We find that the initial returns for Initial Public Offerings (IPO), an essential corporate event, are significantly lower on days listed by the Almanac as unlucky. The effect of calendar superstition...

We test the hypothesis that low visibility shocks to text-based network industry peers can explain industry momentum. We consider industry peer firms identified through 10-K product text and focus on economic peer links that do not share common SIC codes. Shocks to less visible peers generate...