A new time-of-the-month anomaly in stock index returns

Kohers, Theodor; Patel, Jayen B.

doi:10.1080/135048599353744

Cited by 24 publications

(13 citation statements)

References 10 publications

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“…For examples seeGoetzmann and Zhu, 2005;Loughran and Schultz, 2004;Jacobsen and Marquering, 2008;Chang et al, 2008;Kamstra et al, 2003;Saunders, 1993; Hirshleifer et al, 2003. 9 Consistent with the tax-loss selling hypothesis, US firms have been show to experience higher returns during the first few trading days of January(Reinganum, 1983).10 The seasonality of stock market returns is well-established(Kamstra et al, 2012; Heston and Sadka, 2008;Wang et al, 1997;and Kohers and Patel, 1999). However, the results ofLevy and Yagil, 2012;Brusa and Liu (2004) point to year-by-week dummies as the most appropriate controls in this setting.…”

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confidence: 90%

The Effect of Air Pollution on Investor Behavior: Evidence from the S&P 500

Heyes¹,

Neidell²,

Saberian³

2016

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at Madison and CIRANO Montreal for constructive discussions. Errors are ours. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research. NBER working papers are circulated for discussion and comment purposes. They have not been peer-reviewed or been subject to the review by the NBER Board of Directors that accompanies official NBER publications.

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confidence: 90%

The Effect of Air Pollution on Investor Behavior: Evidence from the S&P 500

Heyes¹,

Neidell²,

Saberian³

2016

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“…Then, researchers interested in this kind of anomaly in their turns applied a strategy derived from Ariel's findings to make more clear that stock market returns are generally higher on the last day of the month and the first days of the next month. More precisely, the returns during the first week of a month tend to be significantly positive, while the returns during the other weeks of a month are statistically indistinguishable from zero (Wang et al, 1997;Kohers and Patel, 1999).…”

Section: Literature Reviewmentioning

confidence: 96%

Financial market anomalies: evidence from Tunisia stock market

Bouteska

Regaieg

2017

AJER

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Keywords:Week of the year effect, Day of the week effect, Week of the month effect, Month of the year effect, Stock return index (TUNINDEX) ABSTRACTThe aim of this study is to investigate the presence of seasonal market anomalies (calendar anomalies) and to analyze their effects on the behavior of financial investors in terms of decisions and profit on the Tunisian market during the entire period that starts on January 2003 and ends on 31 December 2015. This work examines four calendar effects which are the new week of the year (WOY), the day of the week (DOW), the week of the month (WOM) and month of the year (MOY) effects using daily data of Tunisian Stock Market Index (TUNINDEX closing price) and dummy variables based on a GARCH (1,1) regression model adopted by Levy and Yagil (2012) to demonstrate whether the anomalies exist on the Tunisian market. The findings show that the returns for Friday are always positively significant. In contrast, the returns for October are almost negatively significant and low compared to other months. We also find that market calendar anomalies are clues to help investors improving their trading strategies and timing their investments to make abnormal profits. Contribution/ OriginalityIn this article, we examine the effect of financial market anomalies in the context of Tunisian financial market, specifically four calendar anomalies which are the week of the year effect, the month of the year effect, the week of the month effect and day of the week effect on the behavior of financial investors in terms of decisions and profit.

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“…These explanations span a variety of causes. Wang et al, [31]; Kohers and Patel, [32] point out that the reason behind of the monthly anomalies is that the returns during the first week of a month tend to be significantly positive, while the returns during the other weeks of a month are statistically indistinguishable from zero. Ogden [33] suggests the payday hypothesis as the likely cause of a TOM effect.…”

Section: Introductionmentioning

confidence: 99%