Subperiod robustness checks: testing for effect mean stationarity
AbstractPurpose – The purpose of this paper is to suggest a superior method for assessing mean stationarity of asset pricing effects. Design/methodology/approach – The authors suggest the use of an F-test to examine mean stationarity of asset pricing effects across subperiods. The superiority of this test is demonstrated through examination of the Halloween Effect using simulated data and the Morgan Stanley Capital International (MSCI) data for 18 developed economies. Findings – It is found that the suggested F-test provides results superior to a simple examination of the magnitude and statistical significance of estimated regression coefficients across subperiods when attempting to determine mean stationarity. Originality/value – This paper sheds light on an analytical oversight in the asset pricing anomalies literature and suggests an appropriate test to address this oversight.
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Bibliographic InfoArticle provided by Emerald Group Publishing in its journal Managerial Finance.
Volume (Year): 38 (2012)
Issue (Month): 3 (May)
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- Edwin Maberly & Raylene Pierce, 2003. "The Halloween Effect and Japanese Equity Prices: Myth or Exploitable Anomaly," Asia-Pacific Financial Markets, Springer, vol. 10(4), pages 319-334, December.
- Haggard, K. Stephen & Witte, H. Douglas, 2010. "The Halloween effect: Trick or treat?," International Review of Financial Analysis, Elsevier, vol. 19(5), pages 379-387, December.
- Ronald Doeswijk, 2008. "The Optimism Cycle: Sell in May," De Economist, Springer, vol. 156(2), pages 175-200, June.
- Kenneth Washer & Srinivas Nippani & John Wingender, 2011. "Day-of-the-week effect in the Canadian money market," Managerial Finance, Emerald Group Publishing, vol. 37(9), pages 855-866, September.
- Sven Bouman & Ben Jacobsen, 2002. "The Halloween Indicator, "Sell in May and Go Away": Another Puzzle," American Economic Review, American Economic Association, vol. 92(5), pages 1618-1635, December.
- Srinivas Nippani & John G. Greenhut, 2011. "Reversal of the weekend effect in Canada: an empirical analysis," Managerial Finance, Emerald Group Publishing, vol. 37(9), pages 840-854, September.
- Lucey, Brian M & Zhao, Shelly, 2008. "Halloween or January? Yet another puzzle," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 1055-1069, December.
- Sauer, Raymond D, et al, 1988. "Hold Your Bets: Another Look at the Efficiency of the Gambling Market for National Football League Games: Comment," Journal of Political Economy, University of Chicago Press, vol. 96(1), pages 206-13, February.
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