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Day of the week effects, information seasonality, and higher moments of security returns

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  • Aggarwal, Raj
  • Schatzberg, John D.

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  • Aggarwal, Raj & Schatzberg, John D., 1997. "Day of the week effects, information seasonality, and higher moments of security returns," Journal of Economics and Business, Elsevier, vol. 49(1), pages 1-20, February.
    • Handle: RePEc:eee:jebusi:v:49:y:1997:i:1:p:1-20
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    References listed on IDEAS

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    1. Keim, Donald B & Stambaugh, Robert F, 1984. "A Further Investigation of the Weekend Effect in Stock Returns," Journal of Finance, American Finance Association, vol. 39(3), pages 819-835, July.
    2. Attanasio, Orazio P., 1990. "Asset price volatility and information structures," Economics Letters, Elsevier, vol. 33(2), pages 159-164, June.
    3. Raj Aggarwal & Ramesh P. Rao & Takato Hiraki, 1989. "Skewness And Kurtosis In Japanese Equity Returns: Empirical Evidence," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 12(3), pages 253-260, September.
    4. Peterson, David R., 1990. "Stock Return Seasonalities and Earnings Information," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(2), pages 187-201, June.
    5. Raj Aggarwal & Reena Aggarwal, 1993. "Security Return Distributions And Market Structure: Evidence From The Nyse/Amex And The Nasdaq Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 16(3), pages 209-220, September.
    6. Richardson, Matthew & Smith, Tom, 1993. "A Test for Multivariate Normality in Stock Returns," The Journal of Business, University of Chicago Press, vol. 66(2), pages 295-321, April.
    7. Singleton, J. Clay & Wingender, John, 1986. "Skewness Persistence in Common Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(3), pages 335-341, September.
    8. Blume, Marshall E & Friend, Irwin, 1975. "The Asset Structure of Individual Portfolios and Some Implications for Utility Functions," Journal of Finance, American Finance Association, vol. 30(2), pages 585-603, May.
    9. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
    10. Connolly, Robert A., 1989. "An Examination of the Robustness of the Weekend Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(2), pages 133-169, June.
    11. Chambers, Ae & Penman, Sh, 1984. "Timeliness Of Reporting And The Stock-Price Reaction To Earnings Announcements," Journal of Accounting Research, Wiley Blackwell, vol. 22(1), pages 21-47.
    12. repec:bla:jfinan:v:44:y:1989:i:4:p:889-908 is not listed on IDEAS
    13. Thaler, Richard H, 1987. "Seasonal Movements in Security Prices II: Weekend, Holiday, Turn of the Month, and Intraday Effects," Journal of Economic Perspectives, American Economic Association, vol. 1(2), pages 169-177, Fall.
    14. Joy, Om & Litzenberger, Rh & Mcenally, Rw, 1977. "Adjustment Of Stock-Prices To Announcements Of Unanticipated Changes In Quarterly Earnings," Journal of Accounting Research, Wiley Blackwell, vol. 15(2), pages 207-225.
    15. Lakshman A. Alles & John L. Kling, 1994. "Regularities In The Variation Of Skewness In Asset Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 17(3), pages 427-438, September.
    16. Kross, W & Schroeder, Da, 1984. "An Empirical-Investigation Of The Effect Of Quarterly Earnings Announcement Timing On Stock Returns," Journal of Accounting Research, Wiley Blackwell, vol. 22(1), pages 153-176.
    17. Penman, Stephen H., 1987. "The distribution of earnings news over time and seasonalities in aggregate stock returns," Journal of Financial Economics, Elsevier, vol. 18(2), pages 199-228, June.
    18. Simkowitz, Michael A. & Beedles, William L., 1978. "Diversification in a Three-Moment World," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(5), pages 927-941, December.
    19. Gibbons, Michael R & Hess, Patrick, 1981. "Day of the Week Effects and Asset Returns," The Journal of Business, University of Chicago Press, vol. 54(4), pages 579-596, October.
    20. Richardson R. Pettit, "undated". "Dividend Announcements, Security Performance, and Capital Market Efficiency," Rodney L. White Center for Financial Research Working Papers 2-71, Wharton School Rodney L. White Center for Financial Research.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Vicente Meneu & Angel Pardo, "undated". "El efecto "día festivo" en la Bolsa espanola," Studies on the Spanish Economy 95, FEDEA.
    2. Shlomo Zilca, 2017. "The evolution and cross-section of the day-of-the-week effect," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 3(1), pages 1-12, December.
    3. Andrew Coutts & Christos Kaplanidis & Jennifer Roberts, 2000. "Security price anomalies in an emerging market: the case of the Athens Stock Exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 10(5), pages 561-571.
    4. Högholm, Kenneth & Knif, Johan, 2009. "The impact of portfolio aggregation on day-of-the-week effect: Evidence from Finland," Global Finance Journal, Elsevier, vol. 20(1), pages 67-79.
    5. Ricardo Cao & Alicia Heras & Angeles Saavedra, 2009. "The uncertainties about the relationships risk–return–volatility in the Spanish stock market," Computational Statistics, Springer, vol. 24(1), pages 113-126, February.
    6. Hood, Matthew & Lesseig, Vance, 2017. "Investor inattention around stock market holidays," Finance Research Letters, Elsevier, vol. 23(C), pages 217-222.
    7. Lucey, Brian M., 2006. "Investigating the determinants of the Wednesday seasonal in Irish Equities," Research in International Business and Finance, Elsevier, vol. 20(1), pages 62-76, March.
    8. Murinde V. & Poshakwala S., 2001. "Volatility in the Emerging Stock Markets in Central and Eastern Europe: Evidence on Croatia, Czech Republic, Hungary, Poland, Russia and Slovakia," European Research Studies Journal, European Research Studies Journal, vol. 0(3-4), pages 73-102, July - De.
    9. Brian Lucey & Edel Tully, 2006. "Seasonality, risk and return in daily COMEX gold and silver data 1982-2002," Applied Financial Economics, Taylor & Francis Journals, vol. 16(4), pages 319-333.
    10. Hutson, Elaine & Kearney, Colm & Lynch, Margaret, 2008. "Volume and skewness in international equity markets," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1255-1268, July.
    11. Mahendra Chandra, 2006. "The day-of-the-week effect in conditional correlation," Review of Quantitative Finance and Accounting, Springer, vol. 27(3), pages 297-310, November.
    12. Peter Arendas & Jana Kotlebova, 2019. "The Turn of the Month Effect on CEE Stock Markets," IJFS, MDPI, vol. 7(4), pages 1-19, October.
    13. Dan Galai & Haim Kedar‐Levy, 2005. "Day‐of‐the‐Week Effect in High Moments," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 14(3), pages 169-186, August.
    14. Shlomo Zilca, 2017. "Day-of-the-week returns and mood: an exterior template approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 3(1), pages 1-21, December.
    15. J. Andrew Coutts, 2010. "Trading rules and stock returns: some further short run evidence from the Hang Seng 1997-2008," Applied Financial Economics, Taylor & Francis Journals, vol. 20(21), pages 1667-1672.
    16. Laurence E. Blose & Vijay Gondhalekar, 2013. "Weekend gold returns in bull and bear markets," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 53(3), pages 609-622, September.
    17. J. Andrew Coutts & Peter Hayes, 1999. "The weekend effect, the Stock Exchange Account and the Financial Times Industrial Ordinary Shares Index: 1987-1994," Applied Financial Economics, Taylor & Francis Journals, vol. 9(1), pages 67-71.
    18. Kenneth Hogholm & Johan Knif & Seppo Pynnonen, 2011. "Common and local asymmetry and day-of-the-week effects among EU equity markets," Quantitative Finance, Taylor & Francis Journals, vol. 11(2), pages 219-227.

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