[HTML][HTML] On the predictability of common stock returns: World-wide evidence

G Hawawini, DB Keim - … in operations research and management science, 1995 - Elsevier
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 day-of-the-week anomaly: The role of institutional investors

RW Sias, LT Starks - Financial Analysts Journal, 1995 - Taylor & Francis
Studies have suggested that individual investor behavior is the primary cause of the
weekend effect. This examination of differences in the daily returns of securities held …

Stock returns and the day-of-the-week effect in Istanbul Stock Exchange

C Berk O˛ uzsoy, S Güven - Applied economics, 2003 - Taylor & Francis
This study investigates the existence of the day-of-the-week effect on stock returns in the
stanbul Stock Exchange (ISE) for the period between 1988 and 1999. ISE that was …

The reversing weekend effect: Evidence from the US equity markets

AY Gu - Review of Quantitative Finance and Accounting, 2004 - Springer
The well-known weekend effect has been reversing in Major US indices from late 1980s to
late 1990s. The correlation between Monday and Friday returns also exhibited a declining …

[BOOK][B] Calendar anomalies and arbitrage

WT Ziemba - 2012 - books.google.com
This book discusses calendar or seasonal anomalies in worldwide equity markets as well as
arbitrage and risk'arbitrage. A complete update of US anomalies such as the January turn-of …

[PDF][PDF] Are stock returns different over weekends? A jump diffusion analysis of the weekend effect

P Fortune - New England Economic Review, 1999 - bostonfed.org
The distribution of returns on common stocks is, arguably, one of the most widely studied
financial market characteristics. Among the questions addressed by these studies are the …

[HTML][HTML] Holiday effect and stock returns: Evidence from stock exchanges of gulf cooperation council

P Pinto, S Bolar, IT Hawaldar, A George… - International Journal of …, 2022 - mdpi.com
One of the prominent types of calendar anomalies includes holiday effects, where stocks
show abnormally higher mean returns on the days prior to holidays in comparison to other …

World wide security market regularities

WT Ziemba - European Journal of Operational Research, 1994 - Elsevier
This paper is a brief survey of systematic violations of security market efficiencies in the US,
Japan and other world wide equity markets. These security market regulatories or anomalies …

Market anomalies in the ASE: The day of the week effect

K Lyroudi, D Subeniotis… - Available at SSRN …, 2002 - papers.ssrn.com
This study examines empirically the day of the week effect anomaly in the Athens Stock
Exchange (ASE). This phenomenon is observed in many developed and developing …

Testing calendar effect on Nigerian stock market returns: Methodological approach

ACA Osazee Frank Ogieva MSc… - Journal of Financial …, 2013 - search.proquest.com
In this study we test for the existence of calendar effect in Nigerian stock market returns. The
data utilised comprised of the daily All Shares Price Index returns for a period of 1339 …