No abstract

An analysis of six stock market calendar and weather anomalies from 1980 to 2003 shows that (1) returns on trading days in which macroeconomic announcements were made generate the anomalies and (2) five of the six anomalies are not present at all on the trading days in which such announcements were not made (more than 60% of the sample). The results suggest that the market response to macroeconomic news, not psychological or institutional factors, is the main source of calendar and weather anomalies. 2007 The Southern Finance Association and the Southwestern Finance Association.

We examine the response of foreign investors to escalating political conflict and its impact on the South Korean stock market surrounding 13 North Korean military attacks between 1999 and 2010. Using domestic institutions and domestic individuals as benchmarks, we evaluate the trading behavior and performance of foreign investors. Following attacks, foreigners increase their holdings of Korean stocks and buy more shares of risky stocks. Performance results show foreigners maintain their pre-attack level of performance while domestic individuals, who make the overwhelming majority of domestic trades, perform worse. In addition, domestic institutions improve their performance. Overall, the results are consistent with the predictions based on the benefits of international diversification. Unlike domestic individuals, foreigners trade more shares than usual and deviate from their general strategy of positive feedback trading.

Ashton et�al. (2003), Edmans et�al. (2007) and Kaplanski and Levy (2010) document abnormal stock market returns on the trading day following international sporting events, particularly soccer. This study examines returns in matching countries and finds that unusual returns also exist in those countries even though their national teams did not play. The evidence shows that national team matches do not affect neutral markets like the matching countries, which implies that sports do not cause unusual returns in either domestic or foreign markets. The results indicate that changes in investor sentiment following international sports matches do not have a significant effect on asset prices.