FANDOM


Multiple Effects Papers

  • Carchano, O. and Tornero, Angel P. Calendar Anomalies in Stock Index Futures (2011). SSRN
  • Swinkels, L. and Van Vliet, P. An Anatomy of Calendar Effects (2010). SSRN
  • Huang, J. and Huang, Z. Real-Time Profitability of Published Anomalies: An Out-of-Sample Test (2010). SSRN
  • Jacobsen, B., Mamun, A. and Visaltanachoti, N. Seasonal, Size and Value Anomalies (2005). SSRN
  • Hansen, Peter R., Lunde, A. and Nason, James M. Testing the Significance of Calendar Effects (2003). SSRN

Intraday Seasonals

  • Heston, S., Korajczyk, R., and Sadka, R. Intraday Patterns in the Cross-Section of Stock Returns (2009). SSRN

Monthly Seasonals / Halloween Effect

  • Dichtl, H. and Drobetz, W. Sell in May and Go Away: Still Good Advice for Investors? (2014). SSRN
  • Keloharju, M., Linnainmaa, J. and Nyberg, P. Return Seasonalities (2013). SSRN
  • Sum, V. Stock Market Performance: High and Low Months (2013). SSRN
  • Jacobsen, B. and Zhang, Cherry Y. The Halloween indicator, 'Sell in May and go Away': An Even Bigger Puzzle (2012). SSRN
  • Dimitriu, R., Stefanescu, R. and Nistor, C. The Halloween Effect During Quiet and Turbulent Times (2012). SSRN
  • Kamstra, Mark J. et. al. Seasonal Asset Allocation: Evidence from Mutual Fund Flows (2011). SSRN
  • Hong, Harrison G. and Yu, J. Gone Fishin': Seasonality in Trading Activity and Asset Prices (2011). SSRN
  • Zhang, Cherry Y and Jacobsen, B. Are Monthly Seasonals Real? A Three Century Perspective (2010). SSRN
  • Speck, D. Seasonality (2005). Link
  • Doeswijk, Ronald Q. The Optimism Cycle: Sell in May (2005). SSRN
  • Kamstra, Mark J., Kramer, Lisa A. and Levi, Maurice D. Winter Blues: A SAD Stock Market Cycle (2000). SSRN
  • Jacobsen, B. and Bouman, S. The Halloween Indicator, 'Sell in May and Go Away': Another Puzzle (1998). SSRN

Turn of the Month / Day of the Month Effect

  • Nilsson, L. Turn-of-the-Month: Window Dressing Behavior (2015). SSRN
  • Giovanis, E. The Turn-of-The-Month-Effect: Evidence from Periodic Generalized Autoregressive Conditional Heteroskedasticity (PGARCH) Model (2014). SSRN
  • Desai, J. and Trivedi, A. A Survey of Day of the Month Effect in World Stock Markets (2012). SSRN
  • Reschenhofer E. Further Evidence on the Turn of the Month Effect (2010). Link
  • Dzhabarov, C. and Ziemba, William T. Do Seasonal Anomalies Still Work? (2010) Link
  • Xu, W. and McConnell, John J. Equity Returns at the Turn of the Month (2006). SSRN

Pre-Holiday Effect

  • Alagidede, P. Month of the Year and Pre-Holiday Effects in African Stock Markets (2012). Link
  • Tsiakas, I. The Economic Gains of Trading Stocks Around Holidays (2010). Link
  • Cao, Xiao L. et. al. Firm size and the pre-holiday effect in New Zealand (2008) Link
  • Marrett, G. and Worthington, A.C. An empirical note on the holiday effect in the Australian stock market (2007). Link
  • Tornero, Angel P. and Lucey, Brian M. Why Investors Should not be Cautious About the Academic Approach to Testing for Stock Market Anomalies (2003). SSRN
  • Tornero, Angel P. and Meneu, V. Pre-Holiday Effect, Large Trades and Small Investor Behaviour (2002). SSRN
  • Bhana, N. Public holiday share price behaviour on the Johannesburg Stock Exchange (1994). Link

Ramadan Effect

  • Almudhaf, F. The Islamic Calendar Effects: Evidence from Twelve Stock Markets (2012). SSRN
  • Al-Issis, M. The Impact of Religious Experience on Financial Markets (2010). Link
  • Bialkowski, Jedrzej P., Etebari, A. and Wisniewski, Tomasz P. Piety and Profits: Stock Market Anomaly During the Muslim Holy Month (2009). SSRN

FOMC Meeting Effect

  • Nilsson, L. The Pre-FOMC Drift Explored (2015). SSRN
  • Cieslak, A., Morse, A. and Vissing-Jorgensen, A. Stock Returns over the FOMC Cycle (2014). Link
  • Lucca, David O. and Moench, E. The Pre-FOMC Announcement Drift (2011). SSRN
  • Tori, Cynthia R. Federal Open Market Committee meetings and stock market performance (2002). Link

January Effect

  • Borges, M. Calendar Effects in Stock Markets: Critique of Previous Methodologies and Recent Evidence in European Countries (2009). Link
  • Marshall, Ben R. and Visaltanachoti, N. The Other January Effect: Evidence against market efficiency? (2010) Link
  • Cooper, Michael J., McConnell, John J. and Ovtchinnikov, Alexei V. What's the Best Way to Trade Using the January Barometer? (2009) SSRN
  • Easterday, Kathryn E., Sen, Pradyot K. and Stephan, J. The Persistence of the Small Firm/January Effect: Is it Consistent With Investors' Learning and Arbitrage Efforts? (2008) SSRN
  • Stivers, C., Sun, L. and Sun, Y. The Other January Effect: International, Style, and Subperiod Evidence (2008). SSRN
  • Haug, M. and Hirschey, M. The January Effect (2005). SSRN

Option-expiration Week

  • Stivers, Christopher T. and Sun, L. Returns and Option Activity over the Option-Expiration Week for S&P 100 Stocks (2010). SSRN

Bond cycles

  • Cieslak, A. and Povala, P. Expected Returns in Treasury Bonds (2015). SSRN

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