IDEAS home Printed from https://ideas.repec.org/r/eee/econom/v105y2001i1p249-286.html
   My bibliography  Save this item

Dangers of data mining: The case of calendar effects in stock returns

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Diego Winkelried & Luis A. Iberico, 2018. "Calendar effects in Latin American stock markets," Empirical Economics, Springer, vol. 54(3), pages 1215-1235, May.
  2. Kam Fong Chan & John G. Powell & Jing Shi & Tom Smith, 2018. "Dividend persistence and dividend behaviour," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(1), pages 127-147, March.
  3. Egbers, Tom & Swinkels, Laurens, 2015. "Can implied volatility predict returns on the currency carry trade?," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 14-26.
  4. Ryan Bartens & Shakill Hassan, 2010. "Value, size and momentum portfolios in real time: the cross section of South African stocks," Australian Journal of Management, Australian School of Business, vol. 35(2), pages 181-202, August.
  5. Andrew Y Chen & Tom Zimmermann & Jeffrey Pontiff, 2020. "Publication Bias and the Cross-Section of Stock Returns," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 10(2), pages 249-289.
  6. William Ziemba, 2011. "Investing in the turn-of-the-year effect," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 25(4), pages 455-472, December.
  7. Meenagh, David & Minford, Patrick & Peel, David, 2007. "Simulating stock returns under switching regimes - A new test of market efficiency," Economics Letters, Elsevier, vol. 94(2), pages 235-239, February.
  8. Thomas Lux, 2009. "Applications of Statistical Physics in Finance and Economics," Chapters, in: J. Barkley Rosser Jr. (ed.), Handbook of Research on Complexity, chapter 9, Edward Elgar Publishing.
  9. Chatzitzisi, Evanthia & Fountas, Stilianos & Panagiotidis, Theodore, 2021. "Another look at calendar anomalies," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 823-840.
  10. Doron Avramov & Guy Kaplanski & Avanidhar Subrahmanyam, 2022. "Postfundamentals Price Drift in Capital Markets: A Regression Regularization Perspective," Management Science, INFORMS, vol. 68(10), pages 7658-7681, October.
  11. Hsu, Po-Hsuan & Han, Qiheng & Wu, Wensheng & Cao, Zhiguang, 2018. "Asset allocation strategies, data snooping, and the 1 / N rule," Journal of Banking & Finance, Elsevier, vol. 97(C), pages 257-269.
  12. Cho, Young-Hyun & Linton, Oliver & Whang, Yoon-Jae, 2007. "Are there Monday effects in stock returns: A stochastic dominance approach," Journal of Empirical Finance, Elsevier, vol. 14(5), pages 736-755, December.
  13. Linton, Oliver & Wu, Jianbin, 2020. "A coupled component DCS-EGARCH model for intraday and overnight volatility," Journal of Econometrics, Elsevier, vol. 217(1), pages 176-201.
  14. Chan, Kam Fong & Gray, Philip & Gray, Stephen & Zhong, Angel, 2020. "Political uncertainty, market anomalies and Presidential honeymoons," Journal of Banking & Finance, Elsevier, vol. 113(C).
  15. Rebecca M. Baker & Tahani Coolen-Maturi & Frank P. A. Coolen, 2017. "Nonparametric predictive inference for stock returns," Journal of Applied Statistics, Taylor & Francis Journals, vol. 44(8), pages 1333-1349, June.
  16. Gleason, Katherine I. & Klock, Mark, 2006. "Intangible capital in the pharmaceutical and chemical industry," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(2), pages 300-314, May.
  17. Linton, O. & Wu, J., 2016. "A coupled component GARCH model for intraday and overnight volatility," Cambridge Working Papers in Economics 1671, Faculty of Economics, University of Cambridge.
  18. Kim-Leng Goh & Kim-Lian Kok, 2006. "Beating the Random Walk: Intraday Seasonality and Volatility in a Developing Stock Market," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 5(1), pages 41-59, April.
  19. Pesaran, Hashem & Timmermann, Allan, 2005. "Real-Time Econometrics," Econometric Theory, Cambridge University Press, vol. 21(1), pages 212-231, February.
  20. Powell, John G. & Shi, Jing & Smith, Tom & Whaley, Robert E., 2009. "Political regimes, business cycles, seasonalities, and returns," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1112-1128, June.
  21. Romano, Joseph P. & Shaikh, Azeem M. & Wolf, Michael, 2008. "Formalized Data Snooping Based On Generalized Error Rates," Econometric Theory, Cambridge University Press, vol. 24(2), pages 404-447, April.
  22. Galor, Oded & Moav, Omer & Vollrath, Dietrich, 2003. "Land Inequality and the Origin of Divergence and Overtaking in the Growth Process: Theory and Evidence," CEPR Discussion Papers 3817, C.E.P.R. Discussion Papers.
  23. Cummins, Mark & Dowling, Michael & Lucey, Brian M., 2015. "Behavioral influences in non-ferrous metals prices," Resources Policy, Elsevier, vol. 45(C), pages 9-22.
  24. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, November.
  25. Shanaev, Savva & Ghimire, Binam, 2022. "A generalised seasonality test and applications for cryptocurrency and stock market seasonality," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 172-185.
  26. Lutz Kilian & Clara Vega, 2011. "Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices," The Review of Economics and Statistics, MIT Press, vol. 93(2), pages 660-671, May.
  27. Bertrand Maillet & Thierry Michel, 2005. "Technical analysis profitability when exchange rates are pegged: A note," The European Journal of Finance, Taylor & Francis Journals, vol. 11(6), pages 463-470.
  28. Atsushi Inoue & Lutz Kilian, 2005. "In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?," Econometric Reviews, Taylor & Francis Journals, vol. 23(4), pages 371-402.
  29. Degenhardt, Thomas & Auer, Benjamin R., 2018. "The “Sell in May” effect: A review and new empirical evidence," The North American Journal of Economics and Finance, Elsevier, vol. 43(C), pages 169-205.
  30. David M. Kaplan & Longhao Zhuo, 2015. "Bayesian and frequentist inequality tests," Working Papers 1516, Department of Economics, University of Missouri, revised Feb 2018.
  31. Martin T. Bohl & Christian A. Salm, 2009. "The Other January Effect: International Evidence," CQE Working Papers 0809, Center for Quantitative Economics (CQE), University of Muenster.
  32. Foong Soon Cheong, 2016. "Debunking Two Myths of the Weekend Effect," IJFS, MDPI, vol. 4(2), pages 1-9, April.
  33. Bekiroglu, Korkut & Duru, Okan & Gulay, Emrah & Su, Rong & Lagoa, Constantino, 2018. "Predictive analytics of crude oil prices by utilizing the intelligent model search engine," Applied Energy, Elsevier, vol. 228(C), pages 2387-2397.
  34. Stephen A. Gorman & Frank J. Fabozzi, 2021. "The ABC’s of the alternative risk premium: academic roots," Journal of Asset Management, Palgrave Macmillan, vol. 22(6), pages 405-436, October.
  35. Hubert Dichtl, 2020. "Investing in the S&P 500 index: Can anything beat the buy‐and‐hold strategy?," Review of Financial Economics, John Wiley & Sons, vol. 38(2), pages 352-378, April.
  36. Bogdan Batrinca & Christian W. Hesse & Philip C. Treleaven, 2020. "Expiration day effects on European trading volumes," Empirical Economics, Springer, vol. 58(4), pages 1603-1638, April.
  37. Giovanis, Eleftherios, 2009. "Bootstrapping Fuzzy-GARCH Regressions on the Day of the Week Effect in Stock Returns: Applications in MATLAB," MPRA Paper 22326, University Library of Munich, Germany.
  38. Carrazedo, Tiago & Curto, José Dias & Oliveira, Luís, 2016. "The Halloween effect in European sectors," Research in International Business and Finance, Elsevier, vol. 37(C), pages 489-500.
  39. Hubert Dichtl & Wolfgang Drobetz & Viktoria‐Sophie Wendt, 2021. "How to build a factor portfolio: Does the allocation strategy matter?," European Financial Management, European Financial Management Association, vol. 27(1), pages 20-58, January.
  40. Gurgul Henryk & Suder Marcin, 2016. "Calendar and Seasonal Effects on the Size of Withdrawals from Atms Managed By Euronet," Statistics in Transition New Series, Polish Statistical Association, vol. 17(4), pages 691-722, December.
  41. Cai, Lili & Swanson, Norman R., 2011. "In- and out-of-sample specification analysis of spot rate models: Further evidence for the period 1982-2008," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 743-764, September.
  42. Georgios Bampinas & Stilianos Fountas & Theodore Panagiotidis, 2015. "The day-of-the-week effect is weak: Evidence from the European Real Estate Sector," Discussion Paper Series 2015_02, Department of Economics, University of Macedonia, revised May 2015.
  43. Mateus, Irina B. & Mateus, Cesario & Todorovic, Natasa, 2019. "Review of new trends in the literature on factor models and mutual fund performance," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 344-354.
  44. Dichtl, Hubert & Drobetz, Wolfgang, 2015. "Sell in May and Go Away: Still good advice for investors?," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 29-43.
  45. Oleg Rytchkov & Xun Zhong, 2020. "Information Aggregation and P-Hacking," Management Science, INFORMS, vol. 66(4), pages 1605-1626, April.
  46. Barbara Rossi, 2019. "Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them," Working Papers 1162, Barcelona School of Economics.
  47. Atsushi Inoue & Lutz Kilian, 2005. "In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?," Econometric Reviews, Taylor & Francis Journals, vol. 23(4), pages 371-402.
  48. Doyle, John R. & Chen, Catherine Huirong, 2009. "The wandering weekday effect in major stock markets," Journal of Banking & Finance, Elsevier, vol. 33(8), pages 1388-1399, August.
  49. Pedro Antonio Martín-Cervantes & María del Carmen Valls Martínez, 2023. "Unraveling the relationship between betas and ESG scores through the Random Forests methodology," Risk Management, Palgrave Macmillan, vol. 25(3), pages 1-29, September.
  50. Gencay, Ramazan & Selcuk, Faruk & Ulugulyagci, Abdurrahman, 2003. "High volatility, thick tails and extreme value theory in value-at-risk estimation," Insurance: Mathematics and Economics, Elsevier, vol. 33(2), pages 337-356, October.
  51. Lux, Thomas, 2008. "Applications of statistical physics in finance and economics," Kiel Working Papers 1425, Kiel Institute for the World Economy (IfW Kiel).
  52. Söhnke M. Bartram & Harald Lohre & Peter F. Pope & Ananthalakshmi Ranganathan, 2021. "Navigating the factor zoo around the world: an institutional investor perspective," Journal of Business Economics, Springer, vol. 91(5), pages 655-703, July.
  53. Qadan, Mahmoud & Idilbi-Bayaa, Yasmeen, 2021. "The day-of-the-week-effect on the volatility of commodities," Resources Policy, Elsevier, vol. 71(C).
  54. Sproule, Robert & Gosselin, Gabriel, 2023. "Is the research agenda for calendar anomalies “much do about nothing”?," MPRA Paper 117001, University Library of Munich, Germany.
  55. Michael D. Hausfeld & Gordon C. Rausser & Gareth J. Macartney & Michael P. Lehmann & Sathya S. Gosselin, 2014. "Antitrust class proceedings – Then and now," Research in Law and Economics, in: The Law and Economics of Class Actions, volume 26, pages 77-133, Emerald Group Publishing Limited.
  56. Sullivan, Ryan & Timmermann, Allan & White, Halbert, 2003. "Forecast evaluation with shared data sets," International Journal of Forecasting, Elsevier, vol. 19(2), pages 217-227.
  57. Ilias Tsiakas, 2010. "The Economic Gains Of Trading Stocks Around Holidays," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 33(1), pages 1-26, March.
  58. Eddie C. M. Hui & Ka Kwan Kevin Chan, 2018. "Testing Calendar Effects of International Equity and Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 56(1), pages 140-158, January.
  59. Ülkü, Numan & Rogers, Madeline, 2018. "Who drives the Monday effect?," Journal of Economic Behavior & Organization, Elsevier, vol. 148(C), pages 46-65.
  60. 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.
  61. Laurens Swinkels & Pim van Vliet, 2012. "An anatomy of calendar effects," Journal of Asset Management, Palgrave Macmillan, vol. 13(4), pages 271-286, August.
  62. Dragan Tevdovski & Martin Mihajlov & Igor Sazdovski, 2012. "The Day Of The Week Effect In South Eastern Europe Stock Markets," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 3, pages 20-24, September.
  63. Alt, Raimund & Fortin, Ines & Weinberger, Simon, 2011. "The Monday effect revisited: An alternative testing approach," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 447-460, June.
  64. Adriano Koshiyama & Nick Firoozye, 2019. "Avoiding Backtesting Overfitting by Covariance-Penalties: an empirical investigation of the ordinary and total least squares cases," Papers 1905.05023, arXiv.org.
  65. Cheol‐Ho Park & Scott H. Irwin, 2007. "What Do We Know About The Profitability Of Technical Analysis?," Journal of Economic Surveys, Wiley Blackwell, vol. 21(4), pages 786-826, September.
  66. Hudson, Robert S. & Gregoriou, Andros, 2015. "Calculating and comparing security returns is harder than you think: A comparison between logarithmic and simple returns," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 151-162.
  67. E. Hui & J. Wright & S. Yam, 2014. "Calendar Effects and Real Estate Securities," The Journal of Real Estate Finance and Economics, Springer, vol. 49(1), pages 91-115, July.
  68. Baur, Dirk G. & Dichtl, Hubert & Drobetz, Wolfgang & Wendt, Viktoria-Sophie, 2020. "Investing in gold – Market timing or buy-and-hold?," International Review of Financial Analysis, Elsevier, vol. 71(C).
  69. Coakley, Jerry & Kuo, Jing-Ming & Wood, Andrew, 2012. "The School’s Out effect: A new seasonal anomaly!," The British Accounting Review, Elsevier, vol. 44(3), pages 133-143.
  70. Atanasova, Christina V. & Hudson, Robert S., 2010. "Technical trading rules and calendar anomalies -- Are they the same phenomena?," Economics Letters, Elsevier, vol. 106(2), pages 128-130, February.
  71. Tsiakas, Ilias, 2008. "Overnight information and stochastic volatility: A study of European and US stock exchanges," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 251-268, February.
  72. Brian Lucey & Shane Whelan, 2004. "Monthly and semi-annual seasonality in the Irish equity market 1934-2000," Applied Financial Economics, Taylor & Francis Journals, vol. 14(3), pages 203-208.
  73. Enoch Cheng & Clemens C. Struck, 2019. "Time-Series Momentum: A Monte-Carlo Approach," Working Papers 201906, School of Economics, University College Dublin.
  74. Henryk Gurgul & Marcin Suder, 2016. "Calendar And Seasonal Effects On The Size Of Withdrawals From Atms Managed By Euronet," Statistics in Transition New Series, Polish Statistical Association, vol. 17(4), pages 691-722, December.
  75. John C. Frain, 2008. "Maximum Likelihood Estimates of Regression Coefficients with alpha-stable residuals and Day of Week effects in Total Returns on Equity Indices," Trinity Economics Papers tep0108, Trinity College Dublin, Department of Economics, revised May 2008.
  76. Rapach, David & Zhou, Guofu, 2013. "Forecasting Stock Returns," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 328-383, Elsevier.
  77. Chan, Kam Fong & Marsh, Terry, 2021. "Asset prices, midterm elections, and political uncertainty," Journal of Financial Economics, Elsevier, vol. 141(1), pages 276-296.
  78. Filipovski, Vladimir & Tevdovski, Dragan, 2017. "Stock market efficiency in South Eastern Europe: testing return predictability and presence of calendar effects," MPRA Paper 76818, University Library of Munich, Germany.
  79. Peter Hansen & Asger Lunde, 2003. "Testing the Significance of Calendar Effects," Working Papers 2003-03, Brown University, Department of Economics.
  80. Christian Handke & Lucie Guibault & Joan‐Josep Vallbé, 2021. "Copyright's impact on data mining in academic research," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 42(8), pages 1999-2016, December.
  81. Alagidede, Paul, 2008. "Month-of-the-year and pre-holiday seasonality in African stock markets," Stirling Economics Discussion Papers 2008-23, University of Stirling, Division of Economics.
  82. Lenz, Guido & Mayer, Maximilian, 2023. "Hollywood, Wall Street, and Mistrusting Individual Investors," Journal of Economic Behavior & Organization, Elsevier, vol. 210(C), pages 117-138.
  83. Strobel, Marcus & Auer, Benjamin R., 2018. "Does the predictive power of variable moving average rules vanish over time and can we explain such tendencies?," International Review of Economics & Finance, Elsevier, vol. 53(C), pages 168-184.
  84. Brian Lucey, 2004. "Robust estimates of daily seasonality in the Irish equity market," Applied Financial Economics, Taylor & Francis Journals, vol. 14(7), pages 517-523.
  85. Anthony Gu, 2004. "The Reversing Weekend Effect: Evidence from the U.S. Equity Markets," Review of Quantitative Finance and Accounting, Springer, vol. 22(1), pages 5-14, January.
  86. Hisham Farag, 2015. "Long-term Overreaction, Regulatory Policies and Stock Market Anomalies: Evidence from Egypt," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 14(2), pages 112-139, August.
  87. Benjamin Munyan, 2015. "Regulatory Arbitrage in the Repo Market," Working Papers 15-22, Office of Financial Research, US Department of the Treasury.
  88. Dichtl, Hubert & Drobetz, Wolfgang, 2014. "Are stock markets really so inefficient? The case of the “Halloween Indicator”," Finance Research Letters, Elsevier, vol. 11(2), pages 112-121.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.