of the month effect, it records significantly higher returns during a relatively short time period around the end of the …

yields, sentiment and other leading indicators on the main German stock index, namely the DAX30, for the time period from …

The Turn-of-the-quarter (TOQ) Effect is a calendar anomaly consisting in abnormal returns occurring in a specific time …+n). As many other anomalies, the TOQ Effect is not necessary persistent in time, so the interval [BQ-m; BQ+n] could … experience some changes. This paper explores such changes for the time intervals specific to the Turn-of-the-quarter (TOQ) Effect …

We study firm-level characteristics that a manager would employ as signalling tools in order to time the market (i … time-variation of the strategies providing a unique explanation for momentum crashes …

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 …