Publisher Summary Research in finance over the past 10 to 15 years has revealed stock
price behavior that is inconsistent with the predictions of familiar models. This chapter …

The January effect is primarily a low‐share price effect and less so a market value effect. In
the recent 1977–1986 period, after‐transaction‐cost raw and excess January returns are …

We re-examine the day-of-the-week effect for eleven indexes from nine countries during the
1969–1992 period. The standard methodology as well as the moving average methodology …

In this paper, we examine the Adaptive Market Hypothesis (AMH) through four well-known
calendar anomalies in the Dow Jones Industrial Average from 1900 to 2013. We use …

There is overwhelming evidence that abnormal equity returns are associated with the turn of
the year, the week and the month, as well as with holidays and the time of day. These …

This study investigates the day of the week effect in the Japanese stock returns. Low
Tuesday and high Wednesday returns are observed. Most of the positive returns arise …

According to the conventional theory of finance, maximizing return with minimum risk should
be a hallmark of every successful investor. However, contrary to the theoretical expectations …

Stock returns and calendar anomalies on the London Stock Exchange in the dynamic
perspective of the Adaptive Market Hypothesis: Page 1 QFE, 4(1): 121–147. DOI: 10.3934/QFE.2020006 …

This paper builds a new sentiment index from news articles using text-mining techniques to
empirically investigate the relationships between investor sentiment and asset prices in the …

In this study, we document evidence of a 'reverse'weekend effect–whereby Monday returns
are significantly positive and they are higher than the returns on other days of the week–over …