Firm heterogeneity and calendar anomalies
AbstractWhile the calendar anomalies and financial market relationship is one of the oldest relationships in financial economics, we treat this relationship differently by addressing two unknown issues: (a) do calendar anomalies have a heterogeneous effect on firm returns and firm volatility depending on the sectoral location of firms? and (b) do calendar anomalies affect firm returns and firm volatility differently depending on firm size? Unlike the assumption in this literature that firms are homogeneous, we show that they are in fact heterogeneous. Using 560 firms listed on the NYSE over the period 05 January 2000 to 31 December 2008, we find fresh results, previously undocumented in this literature. We find evidence of calendar anomalies affecting returns and return volatility of firms differently depending on their sectoral locations and size.
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Bibliographic InfoPaper provided by Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance in its series Financial Econometics Series with number 2011_12.
Date of creation: 29 Aug 2011
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Calendar Anomalies; Returns; Heterogeneous; Volatility;
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