[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 …
price behavior that is inconsistent with the predictions of familiar models. This chapter …
The day-of-the-week anomaly: The role of institutional investors
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 …
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 …
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 …
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 …
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 …
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 …
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 …
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 …
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 …
data utilised comprised of the daily All Shares Price Index returns for a period of 1339 …