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A closer look at the Halloween effect: The case of the Dow Jones industrial average
Arendas, Peter; Malacka, Viera; Schwarzova, Maria - In: International Journal of Financial Studies 6 (2018) 2, pp. 1-12
The Halloween effect is one of the most famous calendar anomalies. It is based on the observation that stock returns tend to perform much better over the winter half of the year (November-April) than over the summer half of the year (May-October). The vast majority of studies that investigated...
Persistent link: https://www.econbiz.de/10011996116
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A closer look at the Halloween effect : the case of the Dow Jones industrial average
Arendas, Peter; Malacka, Viera; Schwarzova, Maria - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-12
The Halloween effect is one of the most famous calendar anomalies. It is based on the observation that stock returns tend to perform much better over the winter half of the year (November-April) than over the summer half of the year (May-October). The vast majority of studies that investigated...
Persistent link: https://www.econbiz.de/10011883274
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Institutional investors and stock market efficiency: The case of the January anomaly
Bohl, Martin T.; Gottschalk, Katrin; Pál, Rozália - Volkswirtschaftliche Fakultät, … - 2006
In this paper, we investigate the effect of institutional investors on the January stock market anomaly. The Polish and Hungarian pension system reforms and the associated increase in investment activities of pension funds are used as a unique institutional characteristic to provide evidence on...
Persistent link: https://www.econbiz.de/10005837278
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Institutional investors and stock market efficiency: The case of the January anomaly
Bohl, Martin T.; Gottschalk, Katrin; Henke, Harald; … - Wirtschaftswissenschaftliche Fakultät, … - 2006
In this paper, we investigate the effect of institutional investors on the January stock market anomaly. The Polish and Hungarian pension system reforms and the associated increase in investment activities of pension funds are used as a unique institutional characteristic to provide evidence on...
Persistent link: https://www.econbiz.de/10009216827
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The January effect for individual corporate bonds
Dbouk, Wassim; Jamali, Ibrahim; Kryzanowski, Lawrence - In: International Review of Financial Analysis 30 (2013) C, pp. 69-77
We examine the presence, magnitude and determinants of a January effect for individual corporate bonds. Our results provide empirical evidence of positive and statistically (but not economically) significant abnormal returns in January across different event windows and models. Our results...
Persistent link: https://www.econbiz.de/10010730285
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The Scrutinized-firm Effect, Portfolio Rebalancing, Stock Return Seasonality, and the Pervasiveness of the January Effect in Canada
Athanassakos, George - In: Multinational Finance Journal 6 (2002) 1, pp. 1-27
This article examines whether seasonality is present in the excess returns of low risk Canadian firms in safe … test competing explanations of stock market seasonality, namely, the tax-loss selling hypothesis and the gamesmanship … hypothesis. The tests cover the period 1980 to 1998. For a sample of highly scrutinized and visible firms strong seasonality in …
Persistent link: https://www.econbiz.de/10010937262
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Institutional investors and stock market efficiency: The case of the January anomaly
Bohl, Martin T.; Gottschalk, Katrin; Henke, Harald; … - 2006
In this paper, we investigate the effect of institutional investors on the January stock market anomaly. The Polish and Hungarian pension system reforms and the associated increase in investment activities of pension funds are used as a unique institutional characteristic to provide evidence on...
Persistent link: https://www.econbiz.de/10010296358
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Short-Sale Constraints and the Non-January Idiosyncratic Volatility Puzzle
Doran, James; Jiang, Danling; Peterson, David - Volkswirtschaftliche Fakultät, … - 2007
The underperformance of high idiosyncratic volatility stocks, as documented by Ang, Hodrick, Ying, and Zhang (2006, JF), is a pure non-January phenomenon. This non-January negative relation between idiosyncratic volatility and stock returns is more pronounced among firms with greater constraints...
Persistent link: https://www.econbiz.de/10005621852
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January reversal in the US weekend effect
Al-Rjoub, Samer; Hassan, M. Kabir; Varela, Oscar Albert - Department of Economics and Finance, College of … - 2003
Average returns for small firm size portfolios tend to decrease during the week in January, with Monday returns highest and Friday lowest. More striking are the results after controlling for Mondays and Fridays in the first and the last 3 weeks of January. Monday returns in this first week are...
Persistent link: https://www.econbiz.de/10005628177
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Systematic Equity Return Patterns in Listed European Property Companies
Almudhaf, Fahad; Hansz, J. Andrew - In: International Real Estate Review 14 (2011) 1, pp. 61-84
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...
Persistent link: https://www.econbiz.de/10008917785