The Monday effect revisited: An alternative testing approach

Alt, Raimund; Fortin, Ines; Weinberger, Simon

doi:10.1016/j.jempfin.2011.04.002

Cited by 37 publications

(24 citation statements)

References 26 publications

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“…Testing each null hypothesis at the significance level α may lead to an inflated occurrence of multiple type I errors producing spurious significance. For more details on multiple-level α tests, see, for example,Hochberg and Tamhane (1987),Hsu (1996) andAlt et al (2011).…”

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confidence: 99%

Evaluation of economic forecasts for Austria

2019

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In this paper, we evaluate macroeconomic forecasts for Austria and analyze the effects of external assumptions on forecast errors. We consider the growth rates of real GDP and the demand components as well as the inflation rate and the unemployment rate. The analyses are based on univariate measures like RMSE and Theil's inequality coefficient and also on the Mahalanobis distance, a multivariate measure that takes the variances of and the correlations between the variables into account. We compare forecasts generated by the two leading Austrian economic research institutes, the Institute for Advanced Studies (IHS) and the Austrian Institute of Economic Research (WIFO), and additionally consider the forecasts produced by the European Commission. The results indicate that there are no systematic differences between the forecasts of the two Austrian institutes, neither for the traditional measures nor for the Mahalanobis distance. Generally, forecasts become more accurate with a decreasing forecast horizon, as expected; they are unbiased for forecast horizons of less than a year considering traditional measures and for the shortest forecast horizon considering the Mahalanobis distance. Finally, we find that mistakes in external assumptions, in particular regarding EU GDP and the oil price, translate into forecast errors for GDP and inflation.

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confidence: 99%

Evaluation of economic forecasts for Austria

2019

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“…However, evidence from equity markets supports neither hypothesis (Fama, 1965;French, 1980). Indeed, the Monday or weekend effect has instead come to denote the frequent finding of average negative returns upon reopening (French, 1980;de Jong, Kemna, & Kloek, 1992;Alt, Fortin, & Weinberger, 2011). Such an effect would work against our finding significantly positive returns on the event day.…”

Section: A Evidence From Other Days' Price Movementsmentioning

confidence: 71%

Green Expectations: Current Effects of Anticipated Carbon Pricing

Lemoine

2017

The Review of Economics and Statistics

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I report evidence that an anticipated strengthening of environmental policy increased emissions. I find that the breakdown of the U.S. Senate's 2010 climate effort generated positive excess returns in coal futures markets. This response appears to be driven by an increase in coal storage. The proposed legislation aimed to reduce U.S. greenhouse gas emissions after 2013, but the legislative process itself may have increased emissions by over 12 million tons of carbon dioxide leading up to April 2010.

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“…The indings of many studies were consistent with the Monday effect and others have provided the support to the market ef iciency instead of the Monday effect. There are number of studies which have supported the Monday effect in the stock markets (Alt et al, 2011;Cho et al, 2007;Jaffe et al, 1989). However, other studies support the ef icient market hypothesis and are not in line with the Monday effect (Bhana, 1985;Diaconasu et al, 2012;Mehdian and Perry, 2001;Wang et al, 1997).…”

Section: Monday Effectmentioning

confidence: 99%

Calendar anomalies: Review of literature

2017

J. adv. humanit. soc. sci.

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KeywordsEf icient market hypothesis January anomaly Monday anomaly Islamic calendar months effect Abstract. A wide range of studies in economics and inance literature have addressed the issue of abnormal behaviour in equity returns during certain calendar dates. These abnormal equity returns behaviours are known as calendar anomalies which are in direct opposition to the ef icient market hypothesis. The existence of calendar anomalies does not conform to the assumptions of market ef iciency, therefore, implying that equity returns can be predicted relying on the calendar dates. The objective of current study is to review the prior studies regarding the calendar anomalies. For this purpose, the current study has adopted the review methodology and identi ied the most important studies in this area. Furthermore, the indings of these studies have been reviewed and summarized. By reviewing the previous studies, the current study has noted the growing inclination of recent studies towards the examination of these anomalies. Also, prevalence of these anomalies is documented in recent studies. The current study is the among irst of those studies which have provided a comprehensive review of the previous studies conducted on the calendar anomalies. These summarized reviews of indings of previous research may help future research studies to hold a basic understanding regarding the existence of calendar anomalies in the world equity markets.

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The Monday effect revisited: An alternative testing approach

Cited by 37 publications

References 26 publications

Evaluation of economic forecasts for Austria

Evaluation of economic forecasts for Austria

Green Expectations: Current Effects of Anticipated Carbon Pricing

Calendar anomalies: Review of literature

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