Fajardo, José; Pereira, Rafael - In: Brazilian Business Review 5 (2008) 3, pp. 233-241
The purpose of this paper is to investigate three anomalies in the São Paulo Stock Exchange (BOVESPA) index: the day-of-the-week effect, the twist on the Monday effect and the holiday effect. The period from Jan/1995 to Dec/2007 is analyzed, with subperiods established according to presidential...