Yearly Calendar Anomalies

Gianluca Mattarocci

Chapter 10 in Anomalies in the European REITs Market, 2014, pp 128-138 from Palgrave Macmillan

Abstract: Abstract The yearly seasonality of financial market returns exists in almost all countries and the difference between months is widely studied in the literature to provide useful guidelines for investment strategies (e.g., Gultekin and Gultekin, 1983). The empirical analysis of seasonality identified in any market is affected by the time horizon, the approach adopted for estimating monthly returns, and the procedure used to test the calendar anomaly (Alford and Guffey, 1996).

Keywords: Transaction Cost; Investment Strategy; Risky Asset; Seasonal Affective Disorder; January Effect (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:pal:pmschp:978-1-137-39092-9_11

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DOI: 10.1057/9781137390929_11

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