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Dangers of data-driven inference : the case of calendar effects in stock returns

Sullivan, Ryan; Timmermann, Allan; White, Halbert - 1998

Persistent link: https://www.econbiz.de/10000988757

Capital gains tax rules, tax loss trading, and turn-of-the-year returns

Poterba, James M.; Weisbenner, Scott J. - 1998

Persistent link: https://www.econbiz.de/10000669779

Weekday dependence of German stock market returns

Herwartz, Helmut - 1999

Persistent link: https://www.econbiz.de/10001404961

Caveat compounder : a warning about using the daily CRSP equal-weighted index to compute long-run excess returns

Canina, Linda; Michaely, Roni; Thaler, Richard H.; … - In: The journal of finance : the journal of the American … 53 (1998) 1, pp. 403-422

Persistent link: https://www.econbiz.de/10001235475

The January effect anomaly reexamined in stock returns

Patel, Jayen B. - In: The journal of applied business research 32 (2016) 1, pp. 317-324

Persistent link: https://www.econbiz.de/10011436607

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

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

Testing the monthly calendar anomaly of stock returns in Pakistan : a stochastic dominance approach

Rashid, Abdul; Kausar, Saba - In: The Pakistan development review : PDR 58 (2019) 1, pp. 83-104

Persistent link: https://www.econbiz.de/10012052302

Is the turn of the month effect an "abnormal normality"? : controversial findings, new patterns and...hidden signs(?)

Vasileiou, Evangelos - In: Research in international business and finance 44 (2018), pp. 153-175

Persistent link: https://www.econbiz.de/10011983027

The importance of timing in estimating beta

Taussig, Roi D.; Tobi, Dror; Zwilling, Moti - In: Eurasian economic review : a journal in applied … 9 (2019) 1, pp. 61-70

Persistent link: https://www.econbiz.de/10011994957

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