INVESTMENT STRATEGIES TAILORED TO DAILY SEASONALITY IN STOCK RETURNS

Tihana Škrinjarić

Economic Thought and Practice, 2013, vol. 22, issue 1, 97-120

Abstract: Capital markets provide varieties of investment strategies that their participants try to implement in order to beat the market. Over the past couple of decades authors have been discovering calendar anomalies in stock returns. A brief overview of previous research is given in this paper, together with a focus on trading strategies which implement aforementioned anomalies. This paper constructs (simulates) also an active trading strategy on Zagreb Stock Exchange based on the day of the week effect in stock returns. This strategy has been compared to passive strategies. Results of the comparison show that although the active strategy has derived excess returns, they have been extinguished by the transaction costs.

Keywords: trading strategies; calendar effects; Zagreb Stock Exchange; buy and hold strategy; day-of-the-week effect (search for similar items in EconPapers)
JEL-codes: G10 (search for similar items in EconPapers)
Date: 2013
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