Paper profits or real money? Trading costs and stock market anomalies in country ETFs

Zaremba, Adam; Andreu, Laura

doi:10.1016/j.irfa.2018.01.007

Cited by 15 publications

(1 citation statement)

References 48 publications

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“…Some authors believe that anomalies exist because they are some trading strategies that are riskier and CAPM is unable to capture all the dimensions of these strategies (Muller & Schmicklery, 2021). According to Zaremba and Andreu (2018), anomalies are just profit on paper and cannot be used as a trading strategy. Rossi and Gunardi (2018) is of the opinion that market anomalies are as a result of data mining and statistical illusions.…”

Section: Introductionmentioning

confidence: 99%

Investigating the Turn of the Month effect: Evidence from International Financial Markets

Enow

2023

JBMR

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Market anomalies are predictable patterns in financial markets that contradicts the efficient market hypothesis and the random walk theory. Several anomalies have been documented ever since the emergence of behavioural finance in the early 90s. The Turn of the Month anomaly is a well-known pattern that has resonates a lot of controversy in finance. Advocates of the Turn of the Month effect contends that stock market returns tend to be higher at the last few trading days of the month which spills over to the first two to three trading days of the following month. The aim of this study was to empirically investigate the Turn of the month effect before and during the Covid-19 pandemic so as to validate or repudiate the concept. This study used a sample period from June 30, 2017 to June 30, 2019 and January 1, 2020 to December 31, 2021 in the JSE, Nasdaq, CAC 40, DAX, BIST 100 and Nikkei 225. The findings revealed no evidence to support the TOM effect although some of the financial markets experienced higher returns at the end of the month such as the JSE and Nasdaq. Therefore, the Turn of the Month effect cannot be a trading strategy to realised abnormal returns than the market.

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Section: Introductionmentioning

confidence: 99%