Is the research agenda for calendar anomalies “much do about nothing”?

Robert Sproule and Gabriel Gosselin

MPRA Paper from University Library of Munich, Germany

Abstract: Calendar anomalies are a class of financial market phenomena which links periodic, time-specific dummy variables and variations in the market price of an asset. Prior studies which report a calendar anomaly are seen by some as refutations of the efficient market hypothesis. In this paper, we estimate, test for the presence of, and find no evidence of, the day-the-week effects in the S&P 500, 2013-2023. That is, in this paper, we show that the daily-dummy variables (both individually and collectively) are independent of the S&P 500. This finding supports those who have argued that the day�the-week effects, and (by extension) all calendar anomalies, are “chimera delivered by intensive data mining” or, quite simply, such anomalies are “much ado about nothing.”

Keywords: Efficient market hypothesis; Behavioral finance; Calendar anomalies; Day�of-the-week effects; Ordinary least-squares estimation; Newey-West (1987) standard error correction; S&P 500 Index (search for similar items in EconPapers)
JEL-codes: C1 C12 C13 C22 G12 G14 (search for similar items in EconPapers)
Date: 2023-04-02
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