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Changes of the Time Intervals Specific to Calendar Anomalies : The Case of TOQ Effect on Bucharest Stock Exchange
Stefanescu, Razvan - 2020
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 …
Persistent link: https://www.econbiz.de/10012824545
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Time Will Tell : Information in the Timing of Scheduled Earnings News
Johnson, Travis L. - 2017
Using novel earnings calendar data, we show that firms' advanced scheduling of earnings announcement dates foreshadows their earnings news. Firms that schedule later-than-expected announcement dates subsequently announce worse news than those scheduling earlier-than-expected announcement dates....
Persistent link: https://www.econbiz.de/10012972886
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Calendar anomalies in African stock markets
Ferrouhi, El Mehdi; Kharbouch, Omar; Aguenaou, Samir; … - In: Cogent economics & finance 9 (2021) 1, pp. 1-17
In this paper, we investigate the day of the week and the month of the year effects in African stock markets, both in the Gregorian and the Hijri calendars. Specifically, we investigate Monday effect, Friday effect, January effect and Ramadan effect, from January 2009 to December 2019, using OLS...
Persistent link: https://www.econbiz.de/10013184417
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Debunking two myths of the weekend effect
Cheong, Foong Soon - In: International Journal of Financial Studies : open … 4 (2016) 2, pp. 1-9
This paper finds the weekend effect to be a remarkably robust anomaly and refutes the widespread belief that the weekend effect is due to data-mining or a consequence of some unusual/rare events. Out-of-sample analysis finds both the mean and median return on Monday is lower than that on Friday...
Persistent link: https://www.econbiz.de/10011474547
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The turn of the month effect on cee stock markets
Arendas, Peter; Kotlebova, Jana - In: International Journal of Financial Studies : open … 7 (2019) 4/57, pp. 1-19
of the month effect, it records significantly higher returns during a relatively short time period around the end of the …
Persistent link: https://www.econbiz.de/10012150530
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Monday Mornings : Individual Investor Trading on Days of the Week and Times Within a Day
Richards, Daniel W. - 2020
Individual investors' demand for trading activity will vary over time according to their availability and desire to … selling of losses on Monday mornings, suggesting investors utilise spare time to process difficult trading decisions …
Persistent link: https://www.econbiz.de/10012850094
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The effectiveness of seasonal investments in European Share Portfolios
Heidorn, Thomas; Maier, F.; Winker, M. - 2017
In this paper, calendar seasonality patterns are examined from day-of-the-week effect across weekly patterns, monthly analysis and whole-year seasonal strategies such as Sell in May and Halloween effect. The analysis is done across six indices, DAX, MDAX, SDAX, Eurostoxx 50, Stoxx Europe Mid 200...
Persistent link: https://www.econbiz.de/10011592704
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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
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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/10011458018
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Short-term stock price reversals may be reversed
Kudryavtsev, Andrey - In: International journal of economic sciences and applied … 5 (2012) 3, pp. 129-146
In present study, I explore intraday behavior of stock prices. In particular, I try to shed light on the dynamics of stock price reversals and namely, on the short-term character the latter may possess. For each of the stocks currently making up the Dow Jones Industrial Index, I calculate...
Persistent link: https://www.econbiz.de/10009717374